diff --git a/mr/ub8/mr8.pdf b/mr/ub8/mr8.pdf index 091b875..547420f 100644 --- a/mr/ub8/mr8.pdf +++ b/mr/ub8/mr8.pdf Binary files differ diff --git a/mr/ub8/mr8.tex b/mr/ub8/mr8.tex index 0b37338..cc02fd0 100644 --- a/mr/ub8/mr8.tex +++ b/mr/ub8/mr8.tex @@ -75,8 +75,7 @@ \textbf{Exercise \arabic{n}: #1} (#2 Punkte)\\} \newcommand{\Normal}[3]{\mathcal{N}\left(#1,#2,#3\right)} -\newcommand{\Normalf}[3]{\frac{1}{#3 \cdot\sqrt{2\pi}}e^{-\frac{\left(#1 - #2 \right)^2}{2 #3 ^2}}} -\newcommand{\Normalfs}[3]{\frac{1}{#3}e^{-\frac{\left(#1 - #2 \right)^2}{2 #3 ^2}}} +\newcommand{\Normalf}[3]{\frac{\left|#3\right|^{-\frac{1}{2}}}{\sqrt{2\pi}}e^{-\frac{\left(#1 - #2 \right)^2\cdot \left(#3\right)^{-1}}{2}}} @@ -105,30 +104,39 @@ That is we assume no variance and fully trust the measurement.\pagebreak\\ \Aufgabe{Excercise2}{8} \begin{enumerate}[(a)] - \item %TODO Herleitung - \begin{itemize} - \item $p(x_{t-1})=\mathcal{N}\left(x_{t-1},\hat{x}_{t-1},\sigma_{t-1}\right)$ - \item $p(z_t)=\mathcal{N}\left(z_t,cx_t,r_t\right)$ - \item $p(x_t)=\mathcal{N}\left(x_t,a\mu_{t-1},q_t\right)$ - \end{itemize} + \item $\Normal{x_t}{\mu_t}{\Sigma_t}=\eta\Normal{z_t}{Cx_t}{Q_t}\Normal{x_t}{\bar{\mu}_t}{\bar{\Sigma}_t}$ \item \begin{align*} - \Normal{x_t}{ax_{t-1}}{q_t}&=\eta\Normal{z_t}{cx_t}{r_t}\Normal{x_{t-1}}{\hat{x}_{t-1}}{\sigma_{t-1}}\\ - \Normalf{x_t}{ax_{t-1}}{q_t}&=\eta\Normalf{z_t}{cx_t}{r_t}\Normalf{x_{t-1}}{\hat{x}_{t-1}}{\sigma_{t-1}}\\ - \Normalfs{x_t}{ax_{t-1}}{q_t}&=\eta\Normalfs{z_t}{cx_t}{r_t}\Normalfs{x_{t-1}}{\hat{x}_{t-1}}{\sigma_{t-1}} - \end{align*} - %TODO - % \item $p(x_t|z_{t,\dots1},u_{t,\dots1})\sim N(x_t,\mu_{x,t},\sigma_{x,t})\\ - % \mu_{x,t}= a\mu_{x,t-1}+bu_t+\epsilon_t\\ - % \sigma_{x,t}= |a|\sigma_{x,t-1}\\ - % \\ - % p(x_{t}|z_{t,\dots1},u_{t,\dots1})\sim N(x_{t-1},\mu_{x,t-1},\sigma_{x,t-1})\\ - % \mu_{x,t-1}= a\mu_{x,t-2}+bu_{t-1}+\epsilon_{t-1}\\ - % \sigma_{x,t-1}= |a|\sigma_{x,t-2}\\ - % \\ - % p(z_t|x-t)\sim N(z_t,\mu_z,\sigma_z)\\ - % \mu_z=c*\mu_{x,t-1}+\delta_t \\ - % \sigma_z=|c|\sigma_{x,t-1} - % $ + &\Normalf{x_t}{\mu_t}{\Sigma_t}\\&=\eta\Normalf{z_t}{Cx_t}{Q_t}\Normalf{x_t}{\bar{\mu}_t}{\bar{\Sigma}_t}\\ + &=\eta\frac{1}{2\pi}\left|Q_t\right|^{-\frac{1}{2}}\cdot\left|\bar{\Sigma}_t\right|^{-\frac{1}{2}}\cdot e^{-\frac{1}{2}\left(z_t^2Q_t^{-1}-2z_tCx_tQ_t^{-1}+\left(Cx\right)^2Q_t^{-1}+x_t^2\bar\Sigma_t^{-1}-2x_t\mu_t\bar\Sigma_t^{-1}+\mu_t^2\bar\Sigma_t^{-1}\right)}\\ + &\eta_1e^{-\frac{1}{2}\Sigma_t^{-1}x_t^2+\Sigma^{-1}_tx_t\mu_t-\frac{1}{2}\Sigma_t^{-1}\mu_t^2}\\&=\eta_2 e^{-\frac{1}{2}\left(z_t^2Q_t^{-1}-2z_tCx_tQ_t^{-1}+\left(Cx\right)^2Q_t^{-1}+x_t^2\bar\Sigma_t^{-1}-2x_t\mu_t\bar\Sigma_t^{-1}+\mu_t^2\bar\Sigma_t^{-1}\right)}\\ + \end{align*} + \item $\Sigma_t = \left(C^2Q_t^{-1}+\bar\Sigma_t^{-1}\right)^{-1}$\\ + $\Sigma_t = \left(z_tCQ_t^{-1}+\bar\mu_t\bar\Sigma^{-1}\right)^{-1}\mu_t$ + \item From the lecture and from above we get:\\ + \begin{math} + \begin{array}{lllr} + \Sigma_t&=\left(I-K_tC\right)\bar\Sigma_t\\ + &=\bar\Sigma_t-\frac{\bar\Sigma_t^2C^2}{C^2\bar\Sigma_t+Q_t}\\ + \Sigma_t&=\left(C^2Q_t^{-1}+\bar\Sigma_t^{-1}\right)^{-1}\\ + &=\frac{1}{\frac{C^2}{Q_t}+\frac{1}{\bar\Sigma_t}}\\ + &=\frac{Q_t\bar\Sigma_t}{C^2\bar\Sigma_t+Q_t}\\ + \Rightarrow & \bar\Sigma_t-\frac{\bar\Sigma_t^2C^2}{C^2\bar\Sigma_t+Q_t} &= \frac{Q_t\bar\Sigma_t}{C^2\bar\Sigma_t+Q_t}\\ + \Leftrightarrow & I-\frac{\bar\Sigma_tC^2}{C^2\bar\Sigma_t+Q_t} &= \frac{Q_t}{C^2\bar\Sigma_t+Q_t}\\ + \Leftrightarrow & Q_t &= C^2\bar\Sigma_t+Q_t-\bar\Sigma_tC^2\\ + \Leftrightarrow & Q_t &= Q_t &\qed + \end{array}\end{math} + \item From the lecture and from above we get:\\ + \begin{math} + \begin{array}{llr} + \bar\mu+K(z-C\bar\mu) &= \Sigma\left(\frac{zC}{Q}+\bar\mu\bar\Sigma^{-1}\right)\\ + \bar\mu+K(z-C\bar\mu) &= (I-KC)\bar\Sigma\left(\frac{zC}{Q}+\bar\mu\bar\Sigma^{-1}\right)\\ + \bar\mu+K(z-C\bar\mu) &= \bar\Sigma\left(\frac{zC}{Q}+\bar\mu\bar\Sigma^{-1}\right)-KC\bar\Sigma\left(\frac{zC}{Q}+\bar\mu\bar\Sigma^{-1}\right)\\ + K(z-C\bar\mu) &= z\bar\Sigma\frac{C}{Q}-zKC\bar\Sigma\frac{C}{Q}-KC\bar\mu\\ + Kz &= z\bar\Sigma\frac{C}{Q}-zKC\bar\Sigma\frac{C}{Q}\\ + QK &= \bar\Sigma C - K\bar\Sigma C^2\\ + K(Q+C^2\bar\Sigma) &= \bar\Sigma C\\ + K&=K&\qed + \end{array}\end{math} \end{enumerate} \end{document}