Minimum variance constrained estimator
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Publication:2071951
DOI10.1016/J.AUTOMATICA.2021.110106zbMATH Open1482.93607arXiv2101.05941OpenAlexW4206730854MaRDI QIDQ2071951FDOQ2071951
Girish Chowdhary, Prashant G. Mehta, Prabhat K. Mishra
Publication date: 31 January 2022
Published in: Automatica (Search for Journal in Brave)
Abstract: This paper is concerned with the problem of state estimation for discrete-time linear systems in the presence of additional (equality or inequality) constraints on the state (or estimate). By use of the minimum variance duality, the estimation problem is converted into an optimal control problem. Two algorithmic solutions are described: the full information estimator (FIE) and the moving horizon estimator (MHE). The main result is to show that the proposed estimator is stable in the sense of an observer. The proposed algorithm is distinct from the standard algorithm for constrained state estimation based upon the use of the minimum energy duality. The two are compared numerically on the benchmark batch reactor process model.
Full work available at URL: https://arxiv.org/abs/2101.05941
Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)
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