An interlaced extended Kalman filter

DOI10.1109/9.780418MaRDI QIDQ4506884zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Luigi Glielmo, Roberto Setola, Francesco Vasca

Publication date 17 October 2000

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.780418

zbMATH Keywords

bilinear systemsdiscrete-time nonlinear systemsestimation algorithmgeosynchronous satelliteinterlaced extended Kalman filterKalman filteringparallel connected linear systems

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Filtering in stochastic control theory (93E11)

Review text

The aim of the paper is to propose an estimation algorithm, called Interlaced Extended Kalman Filter (IEKF), for a class of discrete-time nonlinear systems. The vector state of the system is assumed to be partitionable into \(m\) parts (subsystems), whose dynamic equations are supposed to be affine for each of the corresponding part (subsystem). At each step of the algorithm, the EKF works independently from the others in the sense that it operates on its own part of the state vector, considering the other parts as known time-varying parameters. The IEKF algorithm divides the complete nonlinear estimation problem into \(m\) quasi-decoupled linear time-varying subproblems, thus yielding a reduction of the computational burden. The proposed estimation algorithm is well-suited for parameter and state estimation in linear systems whose matrices depend linearly on unknown parameters, and it may be used as a suboptimal reduced-order filter for parallel connected linear systems. The IEKF has been numerically tested and compared to the EKF and to some of its modified versions on several systems; in particular, simulations on the model of a geosynchronous satellite are reported. The numerical simulations of the IEKF procedure provide a good trade-off between the reduction of the computational load and the estimation accuracy.

Recommendations

• Kalman Filtering With Intermittent Observations
• An Iterative Ensemble Kalman Filter
• An extension of the SRIF Kalman filter
• Modified extended Kalman filtering
• The continuous-discrete extended Kalman filter revisited
• scientific article; zbMATH DE number 57482
• A derivative-free implementation of the extended Kalman filter
• Sequential covariance intersection fusion Kalman filter
• Incremental Least Squares Methods and the Extended Kalman Filter
• Multi-Sensor Kalman Filtering With Intermittent Measurements

Cited in

(7)

• An adaptive freeway traffic state estimator
• A new distributed Kalman filtering based on mean-square estimation upper bounds
• An efficient approximation of the Kalman filter for multiple systems coupled via low-dimensional stochastic input
• An efficient statistical adaptive order-switching methodology for Kalman filters
• Extended invariant-EKF designs for state and additive disturbance estimation
• An extension of the SRIF Kalman filter
• A fast convergent extended Kalman observer for nonlinear discrete-time systems

This page was built for publication: An interlaced extended Kalman filter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4506884)