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06-Multivariate-Kalman-Filters.ipynb

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"This notation allows a mathematician to express himself exactly, and when it comes to formal publications presenting new results this precision is necessary. As a programmer I find all of that fairly unreadable; I am used to thinking about variables changing state as a program runs, and do not use a different variable name for each new computation. There is no agreed upon format, so each author makes different choices. I find it challenging to switch quickly between books an papers, and so have adopted my admittedly less precise notation. Mathematicians will write scathing emails to me, but I hope the programmers and students will rejoice.\n",
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"Here are some examples for how other authors write the prior: $X^*_{n+1,n}$, $\\underline{\\hat{x}}_k(-)$ (really!), $\\hat{\\textbf{x}}^-_{k+1}$, $\\hat{x}_{k}$. If you are lucky an author defines the notation; more often you have to read the equations in context to recognize what the author is doing. Of course, people write within a tradition; papers on Kalman filters in finance are likely to use one set of notations while papers on radar tracking is likely to use a different set. Over time you will start to become familiar with trends, and also instantly recognize when somebody just copied equations wholesale from another work. For example - the equations I gave above were copied from Wikipedia.[6]\n",
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"Here are some examples for how other authors write the prior: $X^*_{n+1,n}$, $\\underline{\\hat{x}}_k(-)$ (really!), $\\hat{\\textbf{x}}^-_{k+1}$, $\\hat{x}_{k}$. If you are lucky an author defines the notation; more often you have to read the equations in context to recognize what the author is doing. Of course, people write within a tradition; papers on Kalman filters in finance are likely to use one set of notations while papers on radar tracking is likely to use a different set. Over time you will start to become familiar with trends, and also instantly recognize when somebody just copied equations wholesale from another work. For example - the equations I gave above were copied from the Wikipedia [Kalman Filter](https://en.wikipedia.org/wiki/Kalman_filter#Details) [[1]](#[wiki_article]) article.\n",
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"The *Symbology* Chapter lists the notation used by various authors. This brings up another difficulty. Different authors use different variable names. $\\mathbf{x}$ is fairly universal, but after that it is anybody's guess. Again, you need to read carefully, and hope that the author defines their variables (they often do not).\n",
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"cell_type": "markdown",
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"- [1] http://docs.scipy.org/doc/scipy/reference/tutorial/stats.html\n",
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"- [2] https://en.wikipedia.org/wiki/Kalman_filter\n",
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"- [3] Brown, Robert Grover. *Introduction to Random Signals and Applied Kalman Filtering* John Wiley & Sons, Inc. 2012\n",
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"- [4] `FilterPy` library. Roger Labbe.\n",
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"https://github.com/rlabbe/filterpy\n",
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"- [6] 'Kalman Filters'. Wikipedia\n",
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"- <A name=\"[wiki_article]\">[1]</A> 'Kalman Filters'. Wikipedia\n",
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"https://en.wikipedia.org/wiki/Kalman_filter#Details"
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]
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}

08-Designing-Kalman-Filters.ipynb

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"**Author's note: clean up ball example, add control input example.**\n",
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"\n",
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"In the last chapter we worked with 'textbook' problems. These are problems that are easy to state, program in a few lines of code, and teach. Real world problems are rarely 'textbook'. In this chapter, and the remainder of the book, we will work with more realistic examples. \n",
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"We will begin by tracking a robot in a 2D space, such as a field or warehouse. We will start with a simple noisy sensor that outputs noisy $(x,y)$ coordinates which we will need to filter to generate a 2D track. Once we have mastered this concept, we will extend the problem significantly with more sensors and then adding control inputs. \n",
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"The measurement function $ \\mathbf{H}$ defines how we go from the state variables to the measurements using the equation $\\mathbf{z} = \\mathbf{Hx}$. In this case we have measurements for (x,y), so we will design $\\mathbf{z}$ as $\\begin{bmatrix}x& y\\end{bmatrix}^\\mathsf{T}$ which is dimension 2x1. Our state variable is size 4x1. We can deduce the required size for $\\textbf{H}$ by recalling that multiplying a matrix of size MxN by NxP yields a matrix of size MxP. Thus,\n",
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"The measurement function $\\mathbf{H}$ defines how we go from the state variables to the measurements using the equation $\\mathbf{z} = \\mathbf{Hx}$. In this case we have measurements for (x,y), so we will design $\\mathbf{z}$ as $\\begin{bmatrix}x & y\\end{bmatrix}^\\mathsf{T}$ which is dimension 2x1. Our state variable is size 4x1. We can deduce the required size for $\\textbf{H}$ by recalling that multiplying a matrix of size MxN by NxP yields a matrix of size MxP. Thus,\n",
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"$$ (2\\times 1) = (a\\times b)(4 \\times 1) = (2\\times 4)(4\\times 1)$$\n",
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"$$(2\\times 1) = (a\\times b)(4 \\times 1) = (2\\times 4)(4\\times 1)$$\n",
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"So, $\\textbf{H}$ is 2x4.\n",
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09-Nonlinear-Filtering.ipynb

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