IEEE TRANSACTIONS ON AUTOMATIC CONTROL, VOL.

AC-26,NO. 4,

AUGUST

885

1981

Short Papers
A Digital Quality Control System for an Industrial
Dry Process Rotary Cement Kiln
TAP10 WESTERLUND, MEMBER, IEEE
A bstract-A multivariate autoregressive moving average (ARiMA) model
for an industrial dry process rotary cement lciln is identified, from real
process data, using the maximum likelihood method.The model obtained is
then used in computing a controller for quality control of clinker production. Itis shown that it is relevant to compute a minimum variance
controller subject to restrictions both in the controller structure and the
variances of the control signals. The resulting controller is finally implemented on the cement kiln process, together with a target adaptive controller for automatic adjustment of the clinker quality setpoint, in order to
save energy.

11 I

t
I

I. INTRODUCTION
In the last few years methods of saving energy have become ever more
important. In the cement industry one of the most important steps in this
direction has been the change from the so-called wet method to the dry
method. It has therefore been considered worthwhile to investigate different control strategies for dry process cement kilns [8], [IO]. [13], [18]-[20].
The present paper describes how a digital control system has been
implemented on a dry process cement kiln. The cement kiln has a capacity
of 1000 ton clinker/day and belongs to the company Oy Lohja Ab
located in Virkby, Finland. The actual cement kiln was previously manuaUy controlled by two operators, although the kiln process also contained
some efficient conventional control loops. Today the cement kiln has a
digital control system, realized on an Intel SBC 80/20 microcomputer,
which has been in continuous on-line operation since the summer of 1980.
The digital control system mainly consists of a multivariable "minimum
variance" controller and a target adaptive controller for automatic adjustment of the free lime content setpoint. Improvements both in production
time and fuel economy have been established without deterioration in
product quality. Some of these results are presented in the present paper.
The paper is organized as follows. In Section I1 a brief description of
the cement kiln process is given. In Section 111 the process model and the
identification method are discussed. Results from the maximum hkelihood identification are presented in Section IV. In Section V the controller design is discussed. Finally, in Section VI practical results from the
implemented control system are presented.
11. T H E CEMENT
KILN

.-

--

(I.,,

I
- _ - _ I

___..____.._
At-?*
Il.:,ccOm,iL,

Ylltl

J2111

Fig. I .

Row sheet of the cement kiln process.

1450C. The high temperature of the raw meal is obtained by burning

coal in the lower front end of the kiln. High temperature is needed in

order to start the endo- and exothermic chemical reactions taking place in
the raw meal. The product is called clinker and is a complex chemical
compound of mainly dicalciumsilicate, tricalciumsilicate, tricalciumaluminate, and tetradciumaluminofenite. Finally, the clinker is c o o l e d in
a planetary cooler before it leaves the cement kiln process. The quality of
the clinker is specified by the free lime content in the clinker. The
disturbances that occur in cement kilns are mainly of a stochastic nature.
It therefore seems natural to use a stochastic approach in modeling the
process. This has also been discussed, for example, by Otomo er al. [ 151in
modeling a wet process cement kiln.

MODELAND IDENTIFICATION
METHOD
111. PROCESS
In this section we give a brief description of a general linear stochastic
process model and a method for estimating the model parameters from
real data
Consider a linear discrete-time multivariable stochastic process model
described by

PROCESS

y(r+I)+A,y(r)+ ...+A,ly(l--nA+l)=Bou(t)+ .-.+B,,u(t-n,)

n e cement manufacturing process can, in rough outline, be classified

in three parts, 1) the raw material mixing system, 2) the cement kiln
process, and 3) the clinker grinding process. h this paper we restrict OW
discussion to the cement kiln process.
Some detailed expositions of rotary cement kilns can be found in many
papers [SI, [9] only a brief description of the kiln process will be given in
this section.
In the actual dry process rotary cement kiln, as shown in Fig. 1, the dry
homogenized raw material is preheated in two preheaters before the raw
material enters the kiln. The temperature of the raw meal entering the
upper back end of the kiln is about 800C. The raw meal then passes the
rotary kiln (the actual kiln is 105 m long and 5 m in diameter) countercurrent to hot combustion gases. The final material temperature is about

+C,e(r)+ ...+C,ce(t--n,+l)+e(t+l)

Committee.
Tbe author is with the Department of Chemical Engineering at

(1)

where p is theoutput vector, u is theinput vector, and { e ( t ) } is a

sequence of independent Gaussian random vectors with zero mean value
and covariance:
Ee(t)e(r>T=R.

(2)

Introduce the backward shift operator q - ' defined by

q-'y( r ) = y ( t - 1)

and the matrix polynomials

Manuscript received December 19, 1979; revised December 9, 1980. Paper recommended
by D. G . Fisher, Past Chairman of the Applications, Systems Evaluation,and Components

Abo 50. Finland.

:,,n*cr

Ab0 Akademi, SF-20500

0018-9286/81/0800-0885300.75

. . .+A,"Z""
B ( z ) = B O + B l z + . . . +B",Z.B
C ( z ) = l + C , z + . . . +cncznc.
A(z)=I+A,z+

0 198 1 IEEE

(3)

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AC-26,NO. 4, AUGUST 1981

Equation (1) can then be written in the compact form:

A(q-)y(r+I)=B(q-)u(r)+C(q-)e(r+l).

(5)

The model, as in (1) and (5), is a representation of a sampled finite

dimensional multivariable dynamical system with disturbances which are
Gaussian
random
processes with rational spectral densities [2].

1
-

7.5

Parameter Estimation
Consider some input-output pairs { u( t ) . y ( t ) , t = 1,2, ...,N } generated
by the real process. The identification problem can then be understood as
a problem of finding the best, in respect to some specified criterion,
parameters of the model (I). One of the most commonly used identification methods is the maximum likelihood method. Using the model
structure ( I ) it can be shown that maximization of the likelihood function
is equivalent to minimization of the loss function [3], [6]:
V=det-

I
N-1

2N t ? ( ~ ) B ( t ) ~

(6)

r=l

between the model and the true

&.here s(t) are the Prediction a - m ~
outputs. The --ation
of (6) in respect to the P a r m e t e 6 as in (I), is
a
nonlinear mini-tion
Problem and the *ation
of ( 6 ) is
therefore U S U d Y solved by Some ~ ~ ~ ~ optimization
r i c a l methods [31,[61.
The number of Parameters to be wed in the model Can be determined
by minimizing Akaikes information theoretic criterion [l]:

AIC=(W-l)Iog(V)+(I-n,)(N-I)log(N-l)
f n , ( N - 1)(1 + l o g ( 2 r ) ) + 2 n p

(7)

where N is the number of samples, V is the minimum of (6). n , is the

number of outputs, and n p is the number of parameter in the model.
Iv.

IDENTIFICATION EXPERIMENT

The cement kiln was manually controlled before the actual investigation, although there were also Some efficient conventional control loops,
The purpose of the identification experiment was therefore not to obtain a
of the totally uncontro~edkiln but the partly controlled kiln as it
behaved for the operator.
Two of the primary manipulated variables in the rotary kiln are the fuel
rate and the total exhaust gas rate, each of which has an important effect
on the heat transfer, and, indirectly, the reaction characteristics [9]. In the
actual kiln where coal is used as fuel, the oxygen concentration in the
exhaust gas is controlled by the fuel rate using an efficient conventional
control loop. The manipulated variable is thus the kiln exhaust fan speed,
which then corresponds to the energy flow into the kiln. This variable was
taken as the first control variable U l ( t )in the model to be identified.
The conventional manipulated variables in rotary kiln operation also
include the kiln rotation speed, which controls the material residence
time, and the feed rate of the raw material to the kiln, which controls the
production rate [9]. In the actual kiln the kiln speed is synchronized with
the raw material feed rate in order to make it possible to manipulate the
feed rate of the raw material without sigmficant changes in the internal
loading. This variable was taken as the second control variable U 2 ( t ) .
Although
- there also exist other possible maniuulated variables in the kiln
operation, the above mentioned variables are the most important ones in
the actual kiln. It was therefore decided to restrict the identification
experiment and the model to these inputs.
The identification experiment was made in June 1979. It was planned to
use PRBS in exciting the process. For practical reasons it was. however,
not possible to fulfill the PRBS experiment without any manual adjustments during the excitation procedure. The excitation of the process was
carried out during an 8 h long period (see Fig. 2) and instruments were
read every fifth minute. Samples of the clinker were also taken every fifth
minute and then ground and analyed by wet chemical methods in order
to get the sampled free lime content in the clinker during the experiment.
Ideal kiln operation will minimize fuel consumption while achieving the
desired production rate of quality clinker [9]. I n order to achieve the

20

40

60

80

100

t
Fig. 2. Input sequences during the identificationprocedure.

desired production rate, it is implicitly understood that it is desirable to

obtain stable kiln operation. Although the kiln itself is a stable process,
the interaction between the clinker cooler and the cement kiln often
causes oscillatory behavior in the energy flow into the kiln. One way of
avoiding this type of problem is to keep the temperature of the combustion gas constant by properly adjusting the energy flow into the kiln. n e
combustion gas temperature in the first preheater, therefore, seemed to be
a natural variable to incorporate in the model. Furthermore, one of the
outputs in the model to be identified should include information about
the clinker quality. As the clinker quality specified by the free lime
content in the clinker can only be measured (off line) a while after the
material has passed the kiln, and is for practical reasons only analyzed
every second hour, it is difficult to use this quality measure directly for
control. From the operators own
and also reported invstigations [71. [81, [I51 it has been found that the
drive Power c o d a t e s to
the burning zone temperature and clinker quality. Physically, the relationship has an explanation in the fact that increasing/decreasing energy flow
into the kiln (decreasing/increasing free lime content in the clinker) leads
to an increasing/decreasing burning zone and* thus*
to
drive power because the
in the
increasing/decreasing
the
the
from
data
ing One tends to climb
the identification experiment it was found that a linear model [ 191

log(Y3(t+20min))=aY2(t)+b+e(t)

(8)

could adequately describe the relationship betrveen the kiln drive power
Y2(r) and the free lime content in the clinker Y3(r).It was therefore found
relevant to use the kiln drive power as one of the outputs in the model to
be identified, as it is easy to measure.
The numerical values of all the variables otherthan the free lime
content in the clinker (weight percent) and the exhaust gas temperature
(percent of the full scale O-lOOOC) are in the following given in the
absence of any units, primarily because their physical interpretation have
been changed, as described previously in this section.
o d l Structure

When it was decided which variables should be the inputs and the
outputs of the model to be identified. the next problem was to estimate
the model parameters, It was decided to use the
St~cture
A(q-)Y(r+l)=B(q-)U(r)+c(q-)e(t+l)+d

(9)

where Y(t+ l)=[Y,(r+ I),Y,(t+ l)]and where Y , is the combustion gas

temperature of the first preheater. Y2 is the kiln drive power and U ( t ) =
[Ul(t),U2(t)ITwhere Ul is the energy flow into the kiln and L\ is the
material flow into the kiln. e ( t ) is a sequence of independent random
vectors with zero mean value and covariance
Ee(t)e(tlT=R,

d is a vector with constant but unknown parameters. and A ( q - ) ,

B( q - ), and C( q - I ) are matrix polynomials defined by (4).
In order to obtainthe unknown parameters of the model (9). the

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IEEE TRANSACTIONS ON AUTOMATIC CONTROL, VOL.

-1

'2

' [ I " ,

'

'

1 1 ,

-1

10

15

20

At

Fig. 4. Sample autocorrelation functions for the prediction errors illustrated in Fig. 3.

-4.0
L

tion calculated with the model (IO). Thirdly, the deterministic output from
the model is illustrated. The deterministic output was calculated from the
model

.
0

Y(t+I),=A,Y(t),+B,U(t)+d.

' "
20

"

'

"

60

40

80

The deterministic output shows how much of the outputs Y ( t ) can be

explained by the inputs U ( t ) .The error Y(t)d - Y ( t )thus represents the
part of the outputs that is caused by the disturbances [2]. In Fig. 3 the
prediction errors and the deterministic output errors are also illustrated.
In Fig. 4 sample autocorrelation functions for the prediction errors are
given in order to get some validation of a successful identification.

' 100
' 1

Fig. 3.

Output sequences during the identification procedure. Prediction errors (. . . .)

and deterministic output errors (----) are alsoillustrated.

maximum likelihood method was used. The convergence properties of

some commonly used simple recursive identification methods [6],[ 1 I], [ 121
on the actual data sequences were also tested [IS]. It was found that the
Panuskas method [6] gave almost the same parameter estimates as were
obtained with the maximum likelihood method [18], [21]. The number of
parameters to be used in the model (9) was tested by minimizing Akaike's
information theoretic criterion [I]. The model obtained with the maximum
likelihood method and minimizing Akaike's criterion contained 11 parameters in the following structure:
y(t+l)=A,Y(t)+B,~(t)+C,e(t)+e(t+l)+d

(IO)

where
A,=

( 12)

[ -0.126
0.914

0.0800]
0.917

Bo=

[ -0.211
2.091

-0.0156

The value of Akaike's criterion was

AIC=-536.1.
For comparison, AIC was -481.3 when neglecting the c-parameter in the
above model and AIC was -530.5 when using all 14 parameters in the
above model structure.The estimated residual covariance matrix was
calculated from

R="

'

(Y(f)-Y(f))(Y(r)-f(t)y

N-1

(11)

*=I

[0000257

In this Section we discuss the control problem associated with the

actual kiln process and give a brief discussion of the methods used in
designing the controller for the cement kiln.
It was previously mentioned that an ideal kiln operation will minimize
fuel consumption while achieving the desired production rate of quality
clinker. The quality of clinker is specified by the free lime content in the
clinker. 1.5 weight percent CaO in the clinker is the specified upper control
limit and 0.25 weight percent CaO in the clinker is the lower control limit
for quality clinker.
The controller should therefore be able to minimize variations in the
clinker quality in order to keep the free lime content within the specified
control limits. It is,however, not only importantto keep the quality
within the specified limits because the energy consumption at the lower
control limit is higher than at the upper control limit. The controller
should, therefore, also be able to maximize the average free lime content
subject to the control limit restrictions in order to save energy. Furthermore, the variations in the exhaust gas temperature should be minimized
in order to guarantee stable kiln operation and to indirectly maximize the
production time.
The control problem has been solved using a two-step procedure.
Firstly, a controller minimizing the variations in the outputs has been
designed. Secondly, a procedure for automatic adjustmentof the free lime
content setpoint has been constructed. In the following, the first control
problem is analyzed.
As the variations in the free lime content do not, during normal
operation, follow the normal distribution, but rather a logarithmic normal
distribution [ 191 (see also Fig. 5), the control objective was found naturally to formulate as follows:

~ 1 = ~ n ~ ( ( ~ ~ ( ~ ) - ~ ~ . ~ p ) * + ( l o g ( ~ ~ ( ~ ) (13)
)-~og(~3.s

where f ( t ) is the one-step ahead prediction with the model, as in (10). ff

has the values

A= O Y 4 4

V. CONTROLLER
DESIGN

0.000257]
0.0214
.

where Y l , s pand Y3,spare the corresponding setpoint values. Using the

model, as in (S), it can be shown that minimizing the criterion (13) is
equivalent to minimizing the criterion function
Jz=minE(y(f)~Q,y(r))=-rr(Q,P,)

( 14)

To obtain information as to how the model describes the process, Fig. 3

f i s t illustrates the true outputs and, secondly, the one-step ahead predic-

where y ( 1 ) =( Y,(t ) - Y,,s p , Yz(t ) - Y2,,p)T and P, the stationary covari-

ontrol

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AC-26,NO. 4,

1981

AUGUST

L
Y

Fig. 5.

5 XC.0

5 XCaO

The frequency function for the free Lime content in the clinker during the
manually controlled period.

1.5
1.0

0.5
0
-1

1 log (IC.0)

-1

1 lag (XCaO)

Fig. 6. n e frequency function for the logarithmic free lime content in the clinker during
the manually controlled period.

Fig. 7. The frequency functions for the free Lime content in the clinker during the period
when the quality control system was in on-line operation.

ance matrix E ( y ( t ) y ( t ) ) . Minimizing (14), using the model as in (10).

gives the corresponding minimum variance controller

When using the minimum variance controller based on 75 min sampling

time, the variances on the control signals are

U(f)=

[ -0.490
-1.49

2.491 y ( t ) ,
71.1

EuI(f)=0.00185

(15)

Eu2( t)= 1.44.

The variances of the outputs when applying the controller. as in (15), to

the model (IO) are

Variance Constrained Minimum Variance Controller

E~,(t)=0.0644
Ey2(r)2=0.0214

(16)

while the corresponding variances on the control signals are

Eu,(r)=0.148

E u 2 ( t ) 2 = 108.

(17)

From the real system pointview,

of
the variances of the control signals
are unacceptably h i g h . In the real system we cannot allow variations in
the
signals larger than

When a minimum variance controller cannot be used, simply because

the variances of the control signals will become to high, n e can solve the
problem by setting up a secondary con&tion to the standard formulation
of the loss function 141, [14].[17],[18].[21]. This is ahays necessary if the
inverse system is unstable. In our case one of the loops has a nonminimum phase property. The new formulation can be expressed in mathematical terms as follows:
J

= mintr( Q, c

subject to

control signals for the system considered. In this case the variances of the
output signals are, however, close to that of the open-loop system. The
variances of the outputs of the open-loop system, as in (IO), are
,Ey,(t)=0.375
cy2(

t)=0.476.

(19)

If we use a minimum variance controller based on a 75min sampling

time, the corresponding variances are

J=-(tr(Q,c,)+tr(Q,P,))

y,(t)*=0.347
cy2(

t)=0.426.

where A, are Lagrangian multipliers. From the Kuhn-Tucker necessary

conditions for a minimum it follows that A i a 0 [14]. From the Lagrangian
(24) it thus can be seen that the constrained minimization problem of (22)
and (23) leads to the standard-linear quadratic Gaussian (LQG) control
problem minimizing

(20)

(25)

where the weighting matrix Qu has been given the nice interpretation

IEEE TRANSACTIONS ON AUTOMATIC CONTROL,VOL.

889

AC-26,NO. 4, AUGUST 1981

Q,=

Eul(f)=0.004

2 hisi

Eu2(t )2 = 1.5.

i= I

The minimization of (22), subject to the restrictions as in (23), can thus be

simply solved by the standard LQG solution, for example,by iterating on
the weighting matrix Q , until (22) and (23) are satisfied. The problem
leads to the well-known solution;alinearfeedbackfromoptimally
estimated states and a
Kalman filter producing the optimalestimated
states or,if the transfer function representation
of the controlleris used, a
controller with the structure [ 181

In theimplementation of the minimum variancecontroller

seemed clear that the controller should be used as in (33).
VI.

(35)
it thus

EXPERIMENTAL RESULTS

Some preliminary control experimentsusing the regulator structure(33)

were performed on the cement kiln in the summer of 1979 [18], [21]. The
results were so encouraging thatit was decided to implement the regulator
on the cement kila In the spring of 1980 a Finnish UL-300 microcomwhere G( q - I ) and H( q - I ) are matrix polynomialsdefined by
puter control system,using an Intel SBC 80/20 microprocessor, with a 16
kbyte EPROM memory for the operation system and 3 X 16 kbyte RAbi
G(z)=I+G,z+ ...+Gkzk
memory for the application programs, was implemented on the cement
kiln process. The described minimum variance controller is the main
H(z)=Hl+H2~+*..+Hktk
(28)
control algorithm in the control system. It was previously mentioned that
thecontrollershouldalso
be ableto maximize the average free lime
where k is an observability index[IS].
Using the above formulation in computing a variance restricted mini- content in the clinker, within thespecified quality limits, in order to save
energy. In thecontrol system this hasbeen solved by estimatingthe
mum variance controller for the
model as in (IO), with the inequality
constraints as in (18) and by specifying the weighting matrix Q,, to be (logarithmic) variance (round the setpoint)of the free lime content in the
equal to the identity matrix(if the input constraints are active the solutionclinker analyzed and read by the operator into the microcomputer every
second hour. Thenew free lime content setpointis then specified, a factor
is dependent on the relative weights in Qy),
we obtain the controller
multiplied by theestimatedstandarddeviation
lower than the upper
quality limit. Decreasing variance thus automatically causes increasing
average product quality, and decreasing energy consumption. Such target
2.95
2.16
adaptive controllers have alsobeen used in other areasof control applications [5], [16].
Thefreelimecontentsetpoint
is thereafter used incalculatingthe
When applyingthis controller to themodel, as in (IO), the variances of the corresponding setpoint value for the kiln drive power by using (8). As the
outputs are
off-line analyzed free lime content values are read by the operator into the
microcomputer, it was found relevant to use a procedure of recursively
Ey,(t)=0.0939
estimating the model parameters in (8). It can, however, be expected that
a simultaneous estimation of the (I and b parameters can lead to difficulEj~*(t)~=0.189
(30)
ties in situations where only small changes occur in the free lime content
and the kiln drive power. This problem of course follows from the fact
and the corresponding varianceson the control signals are
that both the a and b parameters are not observable from the data when
no changes occur. Thus, it was decided to estimate only the b parameter
Eu,(t)2=0.004
(using the recursive least squares method with exponential forgetting of
2
Eu,( t ) = 1.5.
(31) past data). A timevarying b parameter can physically also be explained in
situations where a so-called ring of material is formed in the kiln. The ring
The weighting matrix Q,, as in (25) where the diagonal elements must be of material directly causes a change in kiln drive power without changes
regarded as Lagrange multipliers accordingto (29, hasthe values
in the product quality.
In order to measure the performance of the control system the quality
10.7 0
distribution for two periods was calculated. During the first period the
0
0.0220 .
cement kiln was manually controlled by the operators, during the second

a,=[

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results the successful maximum likelihood identification and the controller design, using constrained optimization. should be mentioned.
REFERENCES
H Akaike. A new look at statistical model identification. I E E E Tram Auromat.
Contr.. uol. AC-19. pp. 716-722. 1974.
K J. htram. Introductron to Srochasrrc Conrrol Thheoq. lieu York:Academic. 1970.
K. J. Astram and P. Eykhoff. System identification. A surne!. Auronroncu. vol. 7.
pp. 123-162. 1971.
G. P. Box and G . M. Jenkins. T m e Serres Anohsrs. Forecasrrrrg and Conrrol. San
Francisco:Holden Day. 1970.
D. F. Church. Current and projected pulp and paper indust? problems In process
control and process modeling. Chenural Process Conrrol: AIChE Srmp Senes. vol.
72.
P. Eykhoff. s y s m n Idenrrficafion. New York:Wiley. 1974.
W . M. Gale and C. A. Stapelton. Experimental verification of the correlation
between the calcining rate and other kiln variables, 5th IFAC World Congress.
Paris. France.
J. D. Higham. Dynamic Computer regulation of a dry-process cement kiln. Pror.
I E E . vol. 118. pp. 609-617, 1971.
V. A. Kaiser. Computer control in the cement industry, Proc. IEEE. vol. 58. pp.
70-77. 1970.
L. Kevicky. J. Hetthessy. M. Hilger. and J. Kolostori. Self-tuning adaptive control
of cement raw material blending. Auromatica. vol. 14, pp. 525-532. 1978.
L. Lpng. On Positive real transfer functions and the Convergence of some recursive
schemes. I E E E Truns. A u r o M . Contr., vol. AC-22. pp. 539-551. 1977.
L. Llung. Convergence analysis of parametric identification methods. I E E E Tram.
Automat Conrr.. rol. AC-23. pp. 770-783, 1978.
A. Lundan and 0. Mattila. A system for the control of the homogenization of the
cement raw meal, 4th IFAC Symp. Digital Computer Applications Process Control,
Zurich, Switzerland. 1974.
P. M W i Optimal structure constrained controllers, Process Control Laboratory.
i\bo Akademi. Finland. Rep. 79-1 1.
T. Otomo, T. Nakaga*-a. and H. Akaike, Statistical approach to computer control
of cement rotary kilns. Autoornorm. vol. 8. pp. 35-48, 1972.
L. K. Rastogi. A flat die extmder control system using distributed ~crocomputers.
in Proc. 1978. Joint Automat. Conrr. Conf., 1978.
H. Toivonen T. Westerlund. and P. M M & On the applicatjon of stochastic control
theory for process control, Praffs Control Laboratory, Abo Akademi. Finland.
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T. Westerlund, Application of stochastic control theory to the cement manufacturing process. Process Control Laboratory, k o Akademi. Finland, Rep. 80-5.
T, Westerlund, Oy Lohja Ab, Virkby Finland. Internal Rep. 79-2.
T. Westerlund, H. Toivonen, and K-E Nyman, Stochastic modeling and self-tuning
control of a continuous cement raw material mixing system, in Proc. 18th I E E E
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1980 Joint Automat Contr. Cod., San Francisco. C A

AC-26, NO.

4 AUGUST 1981

For various reasons. related to numerical accuracy and computational

stability. it is adbisable to replace the Kalman filter covariance recursions
with corresponding matrix factorization algorithms. In [2]-[5].some of
the matrix factorization approaches that are. or have been. employed to
recast Kalman filter problems into computationally more stable forms are
described. In this paper we are concerned nith L;-D covariance factorization algorithms [2], [6]-[9].Biermans U-D measurement update algorithm. described in [2] and [7]. is a numerically stable reformulation of the
optimal Kalman covariance result. The key point is that Biermans L-D
measurement mechanization is computationally as efficient as the corresponding optimal Kalman measurement covariance algorithm. Mapping
of the L-D factors can, however. be computationally expensive. Thus, if
W=@L. then Z= WDW. and our task is to exploit block fsgularitv_
of Q so that the pair WID can be efficiently transformed to L-D with U
unit upper triangular. D diagonal and

Remark: Process noise effects are not discussed here because the
mapping decouples from the process noise inclusion. Bierman [2] and
Thornton and Bierman [7] quite adequately handle the effects of process
noise using rank-one matrix modification.
One direct approach that has been used to construct
and
is to
compute Z= W D W 7 (which could take advantage of possible W structure) and then to factor Z using a Cholesky type reduction [2]. Unfortunately, this procedure is both costly in operation counts (compared to
the solution to be presented) and, while the Cholesky reduction is
numerically stable, the X computation can contribute an information loss
due to round off. In problems where high accuracy is crucial. or where
there is poor observability. such an information loss is unacceptable. To
illustrate this point. let c be positive and small enough so that ( I +z2)= = 1
and consider
W=(

I ti:D=Diag(l.l).
);

Then

Although W is nonsingular, thecomputed X denoted Z, is indefinite,

m.

Efficient Time Propagation of U-D Covariance

Factors

having eigenvalues of 1 2
If we were to compute the U-D factors
of Z, the way that the Cholesky algorithm computes them, one obtains
the results indicated in the third column of Table I, and it is clear from
G. J. BIERMAN, SENIOR MEMBER, IEEE
the negative computed Dl that a negative eigenvalue has been introduced.
Abstract-Time propagation of the Kalman filter covariance matrix As is illustrated by the Table I results, information lost in constructing
invokes an operation of the form CPPB. For many applications CP has a cannot be recovered by accurately computing the Cholesky factors of Z,.
Canear: Factorization filter algorithms transform (time or measureblock triangular structure. When the filter implementation employs U-D
covariance factorization (i.e., recursions for U and D are used, where ment update) matrix factors, and good algorithms never explicitly
P= UDU, with U unit upper triangular and D diagonal) this matrix construct covariance matrices as intermediate results. The point to be
structure can be used to reduce the computation cost of time propagation. aware of is that even with D strictly positive one can. in ill-conditioned
The contribution of this paper is a streamlined Gram-Schmidt orthogonali- problems. compute a Z with negative eigenvalues. as in (3). Incidentally,
zation algorithm that can dramatidy reduce U-D time update computa- (LrDL) diagonals always majorize the corresponding D entries: one is
thus assured that, at least. the computed variances must be positive.
tion costs.
In this paper Bre discuss computation of 6and 5 directly from W and
D. One reliable way to do this is to apply the Gram-Schmidt procedure
I. INTRODUCTION
described in [2], [7]. and [8]. When @ and consequently W have arbitrary
Time propagation of the Kalman filter covariance matrix involves an structure in regard to the number and placement of nonzeroqntjes, then
operation of the form Z=OPCP7, where P is the filter covariance matrix as noted in [7] and [8], the computation of @Pa7and U-D via the
and CP, the state transition matrix, often has a block triangular structure. Gram-Schmidt process requires on the order of 1.7n3 and 1.5n3 flops.*
In Kalman filter applications involving relatively few measurements per respectively. Unless n is large, the difference in computation times is
time step, the computational cost of the transition propagation is of hardly discernible.
In many Kalman filter applications. particularly aerospace applications.
central importance [l]. It is, therefore, important to take advantage of
transition and dynamics structure in problems where the filter dimension problems that have large dimensions have sparse transition matrices.
Partitioning and using sparse arithmetic code dramatically reduces the
is large or when there is a (near) real time processing constraint.
Manuscript received April 14. 1980 revised February 5. 1981. Paper recommended by
A. J. Laub. Chairman of the Computational Methods and Discrete Systems Committee.
The author is with Factorized Estimation Applications. Inc.. Canoga Park, CA 91307.

The subscript c means computer evaluated.

2A flop is taken as a floating polnt multiply. add, fetch and store multiple wmputer
operation. of the form encountered in matrix multiplication.

0018-9286/81/0800-0890$00.75

a1981 IEEE

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