Model is
dx/dt = Ax + Bu y = Cx + Du
where A = 0, B = 0, C = I, and D = 0.
The optimal cost-to-go is the P that satisfies
AᵀP + PA − PBR⁻¹BᵀP + Q = 0
Let A = Aᵀ and B = Cᵀ for state observers.
AP + PAᵀ − PCᵀR⁻¹CP + Q = 0
Let A = 0, C = I.
−PR⁻¹P + Q = 0
Solve for P. P, Q, and R are all diagonal, so this can be solved element-wise.
−pr⁻¹p + q = 0 −pr⁻¹p = −q pr⁻¹p = q p²r⁻¹ = q p² = qr p = √(qr)
Now solve for the Kalman gain.
K = PCᵀ(CPCᵀ + R)⁻¹ K = P(P + R)⁻¹ k = p(p + r)⁻¹ k = √(qr)(√(qr) + r)⁻¹ k = √(qr)/(√(qr) + r)
Multiply by √(q/r)/√(q/r).
k = q/(q + r √(q/r)) k = q/(q + √(qr²/r)) k = q/(q + √(qr))
For q = 0 and r ≠ 0,
k = 0/(0 + √0) k = 0/0
Apply L'Hôpital's rule to k with respect to q.
k = 1/(1 + r/(2 √(qr))) k = 2 √(qr)/(2 √(qr) + r) k = 2 √(0)/(2 √0 + r) k = 0/r k = 0
For q ≠ 0 and r = 0,
k = q / (q + √0) k = q / q k = 1
We'll use the extrinsic X-Y-Z rotation order for Euler angles. The direction of rotation is CCW looking into the positive axis. If you point your right thumb along the positive axis direction, your fingers curl in the direction of rotation.
The angles are a_x around the X-axis, a_y around the Y-axis, and a_z around the Z-axis, with the following constraints:
-π ≤ a_x ≤ π -π/2 ≤ a_y ≤ π/2 -π ≤ a_z ≤ π
The coordinate system is right-handed. If you point your right thumb along the +Z axis, your fingers curl from the +X axis to the +Y axis.
The quaternion imaginary numbers are defined as follows:
îĵ = k̂ ĵk̂ = î k̂î = ĵ îĵ = -k̂ k̂ĵ = -î îk̂ = -ĵ î² = ĵ² = k̂² = -1
We will take it as given that a rotation by θ radians around a normalized vector v is represented with the quaternion cos(θ/2) + sin(θ/2) (v_x î + v_y ĵ + v_z k̂).
For convenience, we'll define the following variables:
c_x = cos(a_x/2) s_x = sin(a_x/2) c_y = cos(a_y/2) s_y = sin(a_y/2) c_z = cos(a_z/2) s_z = sin(a_z/2)
We can calculate the quaternion corresponding to a set of Euler angles by applying each rotation in sequence. Recall that quaternions are composed with left multiplication, like matrices.
q = (cos(a_z/2) + sin(a_z/2) k̂)(cos(a_y/2) + sin(a_y/2) ĵ)(cos(a_x/2) + sin(a_x/2) î)
q = (c_z + s_z k̂)(c_y + s_y ĵ)(c_x + s_x î)
q = (c_y c_z - s_y s_z î + s_y c_z ĵ + c_y s_z k̂)(c_x + s_x î)
= (c_x c_y c_z + s_x s_y s_z)
+ (s_x c_y c_z - c_x s_y s_z) î
+ (c_x s_y c_z + s_x c_y s_z) ĵ
+ (c_x c_y s_z - s_x s_y c_z) k̂
Letting q = q_w + q_x î + q_y ĵ + q_z k̂, we can extract the components of the quaternion:
q_w = c_x c_y c_z + s_x s_y s_z q_x = s_x c_y c_z - c_x s_y s_z q_y = c_x s_y c_z + s_x c_y s_z q_z = c_x c_y s_z - s_x s_y c_z
Solving for sin(a_y):
sin(a_y) = 2 c_y s_y
sin(a_y) = 2 (c_x² c_y s_y + s_x² c_y s_y)
sin(a_y) = 2 (c_x² c_y s_y c_z² + c_x² c_y s_y s_z²
+ s_x² c_y s_y c_z² + s_x² c_y s_y s_z²)
sin(a_y) = 2 (c_x² c_y s_y c_z² + s_x² c_y s_y s_z²
+ s_x² c_y s_y c_z² + c_x² c_y s_y s_z²)
sin(a_y) = 2 (c_x² c_y s_y c_z² + c_x s_x c_y² c_z s_z
+ c_x s_x s_y² c_z s_z + s_x² c_y s_y s_z²
- c_x s_x c_y² c_z s_z + s_x² c_y s_y c_z²
+ c_x² c_y s_y s_z² - c_x s_x s_y² c_z s_z)
sin(a_y) = 2 ((c_x c_y c_z + s_x s_y s_z)(c_x s_y c_z + s_x c_y s_z)
- (s_x c_y c_z - c_x s_y s_z)(c_x c_y s_z - s_x s_y c_z))
sin(a_y) = 2 (q_w q_y - q_x q_z)
Then solving for a_y:
a_y = sin⁻¹(sin(a_y)) a_y = sin⁻¹(2 (q_w q_y - q_x q_z))
Solving for cos(a_x) cos(a_y):
cos(a_x) cos(a_y) = (cos²(a_x/2) - sin²(a_x/2))(cos²(a_y/2) - sin²(a_y/2))
cos(a_x) cos(a_y) = (c_x² - s_x²)(c_y² - s_y²)
cos(a_x) cos(a_y) = c_x² c_y² - c_x² s_y² - s_x² c_y² + s_x² s_y²
cos(a_x) cos(a_y) = c_x² (1 - s_y²) - c_x² s_y² - s_x² c_y² + s_x² (1 - c_y²)
cos(a_x) cos(a_y) = c_x² - c_x² s_y² - c_x² s_y² - s_x² c_y² + s_x² - s_x² c_y²
cos(a_x) cos(a_y) = c_x² + s_x² - 2 (c_x² s_y² + s_x² c_y²)
cos(a_x) cos(a_y) = 1 - 2 (c_x² s_y² + s_x² c_y²)
cos(a_x) cos(a_y) = 1 - 2 (c_x² s_y² c_z² + c_x² s_y² s_z²
+ s_x² c_y² c_z² + s_x² c_y² s_z²)
cos(a_x) cos(a_y) = 1 - 2 (s_x² c_y² c_z² + c_x² s_y² s_z²
+ c_x² s_y² c_z² + s_x² c_y² s_z²)
cos(a_x) cos(a_y) = 1 - 2 (s_x² c_y² c_z² - 2 c_x s_x c_y s_y c_z s_z + c_x² s_y² s_z²
+ c_x² s_y² c_z² + 2 c_x s_x c_y s_y c_z s_z + s_x² c_y² s_z²)
cos(a_x) cos(a_y) = 1 - 2 ((s_x c_y c_z - c_x s_y s_z)² + (c_x s_y c_z + s_x c_y s_z)²)
cos(a_x) cos(a_y) = 1 - 2 (q_x² + q_y²)
Solving for sin(a_x) cos(a_y):
sin(a_x) cos(a_y) = (2 cos(a_x/2) sin(a_x/2))(cos²(a_y/2) - sin²(a_y/2))
sin(a_x) cos(a_y) = (2 c_x s_x)(c_y² - s_y²)
sin(a_x) cos(a_y) = 2 (c_x s_x c_y² - c_x s_x s_y²)
sin(a_x) cos(a_y) = 2 (c_x s_x c_y² c_z² + c_x s_x c_y² s_z²
- c_x s_x s_y² c_z² - c_x s_x s_y² s_z²)
sin(a_x) cos(a_y) = 2 (c_s s_x c_y² c_z² - c_x s_x s_y² s_z²
- c_x s_x s_y² c_z² + c_x s_x c_y² s_z²)
sin(a_x) cos(a_y) = 2 (c_x s_x c_y² c_z² - c_x² c_y s_y c_z s_z
+ s_x² c_y s_y c_z s_z - c_x s_x s_y² s_z²
+ c_x² c_y s_y c_z s_z - c_x s_x s_y² c_z²
+ c_x s_x c_y² s_z² - s_x² c_y s_y c_z s_z)
sin(a_x) cos(a_y) = 2 ((c_x c_y c_z + s_x s_y s_z)(s_x c_y c_z - c_x s_y s_z)
+ (c_x s_y c_z + s_x c_y s_z)(c_x c_y s_z - s_x s_y c_z))
sin(a_x) cos(a_y) = 2 (q_w q_x + q_y q_z)
Similarly, solving for cos(a_z) cos(a_y):
cos(a_z) cos(a_y) = (cos²(a_z/2) - sin²(a_z/2))(cos²(a_y/2) - sin²(a_y/2))
cos(a_z) cos(a_y) = (c_z² - s_z²)(c_y² - s_y²)
cos(a_z) cos(a_y) = c_y² c_z² - s_y² c_z² - c_y² s_z² + s_y² s_z²
cos(a_z) cos(a_y) = c_y² (1 - s_z²) - s_y² c_z² - c_y² s_z² + s_y² (1 - c_z²)
cos(a_z) cos(a_y) = c_y² - c_y² s_z² - s_y² c_z² - c_y² s_z² + s_y² - s_y² c_z²
cos(a_z) cos(a_y) = c_y² + s_y² - 2 (c_y² s_z² + s_y² c_z²)
cos(a_z) cos(a_y) = 1 - 2 (c_y² s_z² + s_y² c_z²)
cos(a_z) cos(a_y) = 1 - 2 (c_x² c_y² s_z² + s_x² c_y² s_z²
+ c_x² s_y² c_z² + s_x² s_y² c_z²)
cos(a_z) cos(a_y) = 1 - 2 (c_x² s_y² c_z² + s_x² c_y² s_z²
+ c_x² c_y² s_z² + s_x² s_y² c_z²)
cos(a_z) cos(a_y) = 1 - 2 (c_x² s_y² c_z² + 2 c_x s_x c_y s_y c_z s_z + s_x² c_y² s_z²
+ c_x² c_y² s_z² - 2 c_x s_x c_y s_y c_z s_z + s_x² s_y² c_z²)
cos(a_z) cos(a_y) = 1 - 2 ((c_x s_y c_z + s_x c_y s_z)² + (c_x c_y s_z - s_x s_y c_z)²)
cos(a_z) cos(a_y) = 1 - 2 (q_y² + q_z²)
Similarly, solving for sin(a_z) cos(a_y):
sin(a_z) cos(a_y) = (2 cos(a_z/2) sin(a_z/2))(cos²(a_y/2) - sin²(a_y/2))
sin(a_z) cos(a_y) = (2 c_z s_z)(c_y² - s_y²)
sin(a_z) cos(a_y) = 2 (c_y² c_z s_z - s_y² c_z s_z)
sin(a_z) cos(a_y) = 2 (c_x² c_y² c_z s_z + s_x² c_y² c_z s_z
- c_x² s_y² c_z s_z - s_x² s_y² c_z s_z)
sin(a_z) cos(a_y) = 2 (c_x² c_y² c_z s_z - s_x² s_y² c_z s_z
+ s_x² c_y² c_z s_z - c_x² s_y² c_z s_z)
sin(a_z) cos(a_y) = 2 (c_x² c_y² c_z s_z - c_x s_x c_y s_y c_z²
+ c_x s_x c_y s_y s_z² - s_x² s_y² c_z s_z
+ c_x s_x c_y s_y c_z² + s_x² c_y² c_z s_z
- c_x² s_y² c_z s_z - c_x s_x c_y s_y s_z²)
sin(a_z) cos(a_y) = 2 ((c_x c_y c_z + s_x s_y s_z)(c_x c_y s_z - s_x s_y c_z)
+ (s_x c_y c_z - c_x s_y s_z)(c_x s_y c_z + s_x c_y s_z))
sin(a_z) cos(a_y) = 2 (q_w q_z + q_x q_y)
Solving for a_x and a_z:
a_x = atan2(sin(a_x), cos(a_x)) a_z = atan2(sin(a_z), cos(a_z))
If cos(a_y) > 0:
a_x = atan2(sin(a_x) cos(a_y), cos(a_x) cos(a_y)) a_z = atan2(sin(a_z) cos(a_y), cos(a_z) cos(a_y)) a_x = atan2(2 (q_w q_x + q_y q_z), 1 - 2 (q_x² + q_y²)) a_z = atan2(2 (q_w q_z + q_x q_y), 1 - 2 (q_y² + q_z²))
Because -π/2 ≤ a_y ≤ π/2, cos(a_y) ≥ 0. Therefore, the only remaining case is cos(a_y) = 0, whose only solutions in that range are a_y = ±π/2.
a_y = ±π/2 a_y/2 = ±π/4 cos(a_y/2) = √2/2 c_y = √2/2 sin(a_y/2) = ±√2/2 s_y = ±√2/2
Plugging into the quaternion components:
q_w = c_x c_y c_z + s_x s_y s_z q_x = s_x c_y c_z - c_x s_y s_z q_y = c_x s_y c_z + s_x c_y s_z q_z = c_x c_y s_z - s_x s_y c_z q_w = √2/2 c_x c_z ± √2/2 s_x s_z q_x = √2/2 s_x c_z ∓ √2/2 c_x s_z q_y = ±√2/2 c_x c_z + √2/2 s_x s_z q_z = √2/2 c_x s_z ∓ √2/2 s_x c_z q_w = √2/2 (c_x c_z ± s_x s_z) q_x = √2/2 (s_x c_z ∓ c_x s_z) q_y = √2/2 (± c_x c_z + s_x s_z) q_z = √2/2 (c_x s_z ∓ s_x c_z) q_w = √2/2 cos(a_z/2 ∓ a_x/2) q_x = √2/2 sin(a_x/2 ∓ a_z/2) q_y = √2/2 -cos(a_x/2 ∓ a_z/2) q_z = √2/2 sin(a_z/2 ∓ a_x/2)
In either case only the sum or the difference between a_x and a_z can be determined. We'll pick the solution where a_x = 0.
q_w = √2/2 cos(a_z/2 ∓ 0) q_w = √2/2 cos(a_z/2) cos(a_z/2) = √2 q_w q_z = √2/2 sin(a_z/2 ∓ 0) q_z = √2/2 sin(a_z/2) sin(a_z/2) = √2 q_z cos(a_z) = cos²(a_z/2) - sin²(a_z/2) cos(a_z) = (√2 q_w)² - (√2 q_z)² cos(a_z) = 2 q_w² - 2 q_z² cos(a_z) = 2 (q_w² - q_z²) sin(a_z) = 2 cos(a_z/2) sin(a_z/2) sin(a_z) = 2 (√2 q_w) (√2 q_z) sin(a_z) = 4 q_w q_z a_z = atan2(4 q_w q_z, 2 (q_w² - q_z²)) a_z = atan2(2 q_w q_z, q_w² - q_z²)
When calculating a_x:
cos(a_y) ≈ 0 cos²(a_y) ≈ 0 cos²(a_x) cos²(a_y) + sin²(a_x) cos²(a_y) ≈ 0 (cos(a_x) cos(a_y))² + (sin(a_x) cos(a_y))² ≈ 0
Note that this reuses the cos(a_x) cos(a_y) and sin(a_x) cos(a_y) terms needed to calculate a_x.
When calculating a_z:
cos(a_y) ≈ 0 cos²(a_y) ≈ 0 cos²(a_y) cos²(a_z) + cos²(a_y) sin²(a_z) ≈ 0 (cos(a_y) cos(a_z))² + (cos(a_y) sin(a_z))² ≈ 0
Note that this reuses the cos(a_y) cos(a_z) and cos(a_y) sin(a_z) terms needed to calculate a_z.
We will take it as given that a quaternion has scalar and vector components 𝑞 = s + 𝑣⃗, with vector component 𝑣⃗ consisting of a unit vector and magnitude 𝑣⃗ = θ * v̂.
𝑞 = s + 𝑣⃗ 𝑣⃗ = θ * v̂ exp(𝑞) = exp(s + 𝑣⃗) exp(𝑞) = exp(s) * exp(𝑣⃗) exp(𝑞) = exp(s) * exp(θ * v̂)
Applying euler's identity:
exp(θ * v̂) = cos(θ) + sin(θ) * v̂
Gives us:
exp(𝑞) = exp(s) * [cos(θ) + sin(θ) * v̂]
Rearranging 𝑣⃗ = θ * v̂ we can solve for v̂: v̂ = 𝑣⃗ / θ
exp(𝑞) = exp(s) * [cos(θ) + sin(θ) / θ * 𝑣⃗]
We will take it as a given that for a given quaternion of the form 𝑞 = s + 𝑣⃗, we can calculate the exponential: exp(𝑞) = exp(s) * [cos(θ) + sin(θ) / θ * 𝑣⃗] where θ = ||𝑣⃗||.
Additionally, exp(log(𝑞)) = q for a given value of log(𝑞). There are multiple solutions to log(𝑞) caused by the imaginary axes in 𝑣⃗, discussed here: https://en.wikipedia.org/wiki/Complex_logarithm
We will demonstrate the principal solution of log(𝑞) satisfying exp(log(𝑞)) = q. This being log(𝑞) = log(||𝑞||) + atan2(θ, s) / θ * 𝑣⃗, is the principal solution to log(𝑞) because the function atan2(θ, s) returns the principal value corresponding to its arguments.
Proof: log(𝑞) = log(||𝑞||) + atan2(θ, s) / θ * 𝑣⃗ satisfies exp(log(𝑞)) = q.
exp(log(𝑞)) = exp(log(||𝑞||) + atan2(θ, s) / θ * 𝑣⃗) exp(log(𝑞)) = exp(log(||𝑞||)) * exp(atan2(θ, s) / θ * 𝑣⃗) Substitutions: 𝑣⃗ = θ * v̂: exp(log(||𝑞||)) = ||𝑞|| exp(log(𝑞)) = ||𝑞|| * exp(atan2(θ, s) * v̂) exp(log(𝑞)) = ||𝑞|| * [cos(atan2(θ, s)) + sin(atan2(θ, s)) * v̂] Substitutions: cos(atan2(θ, s)) = s / √(θ² + s²) sin(atan2(θ, s)) = θ / √(θ² + s²) exp(log(𝑞)) = ||𝑞|| * [s / √(θ² + s²) + θ / √(θ² + s²) * v̂] √(θ² + s²) = ||𝑞|| exp(log(𝑞)) = ||𝑞|| * [s / ||𝑞|| + θ / ||𝑞|| * v̂] exp(log(𝑞)) = s + θ * v̂ exp(log(𝑞)) = s + 𝑣⃗ exp(log(𝑞)) = 𝑞
We will take it as a given that members of 𝖘𝖔(3) take the form 𝑣⃗ = θ * v̂, representing a rotation θ around a unit axis v̂.
We additionally take it as a given that quaternions in SO(3) are of the form 𝑞 = cos(θ / 2) + sin(θ / 2) * v̂, representing a rotation of θ around unit axis v̂.
θ = ||𝑣⃗|| v̂ = 𝑣⃗ / θ 𝑞 = cos(θ / 2) + sin(θ / 2) * v̂ 𝑞 = cos(||𝑣⃗|| / 2) + sin(||𝑣⃗|| / 2) / ||𝑣⃗|| * 𝑣⃗
We will take it as a given that members of 𝖘𝖔(3) take the form 𝑟⃗ = θ * r̂, representing a rotation θ around a unit axis r̂.
We additionally take it as a given that quaternions in SO(3) are of the form 𝑞 = s + 𝑣⃗ = cos(θ / 2) + sin(θ / 2) * v̂, representing a rotation of θ around unit axis v̂.
s + 𝑣⃗ = cos(θ / 2) + sin(θ / 2) * v̂ s = cos(θ / 2) 𝑣⃗ = sin(θ / 2) * v̂ ||𝑣⃗|| = sin(θ / 2) θ / 2 = atan2(||𝑣⃗||, s) θ = 2 * atan2(||𝑣⃗||, s) r̂ = 𝑣⃗ / ||𝑣⃗|| 𝑟⃗ = θ * r̂ 𝑟⃗ = 2 * atan2(||𝑣⃗||, s) / ||𝑣⃗|| * 𝑣⃗
Demonstration: https://www.desmos.com/calculator/3jamollwrk
The fastest path possible for an exponential profile (and the placement of the inflection point) depend on boundary conditions.
Specifically, the placement (xf, vf) relative to the possible trajectories that cross through (x0, v0) decides this. There are two possible trajectories to take from the initial state. In the desmos demo these are colored Green and Purple, which arise from applying +input and -input from the initial state respectively. Red and Yellow trajectories arise from applying -input and +input respectively from terminal conditions.
In order to reach the terminal state from the initial state by following Green in the +v direction, the second step is following Red in the -v direction. Likewise, Purple must be followed in the -v direction, and then Yellow must be followed in the +v direction.
The specific conditions surrounding this decision are fourfold:
Where x1_ps(v, U) follows the Green line, and x1_ps(v, -U) follows the Purple line.
This creates a decision table: | v0>=0 | vf>=0 | vf>=x1_ps(vf,U) | vf>=x1_ps(vf,-U) | Output Sign | |-------|-------|-----------------|------------------|------------:| | False | False | False | False | -1 | | False | False | False | True | 1 | | False | False | True | False | 1 | | False | False | True | True | 1 | | False | True | False | False | -1 | | False | True | False | True | -1 | | False | True | True | False | 1 | | False | True | True | True | 1 | | True | False | False | False | -1 | | True | False | False | True | 1 | | True | False | True | False | -1 | | True | False | True | True | 1 | | True | True | False | False | -1 | | True | True | False | True | -1 | | True | True | True | False | -1 | | True | True | True | True | 1 |
Which is equivalent to -1 if (A & ~D) | (B & ~C) | (~C & ~D) else 1.