Spatial discretization error in Kalman filtering for discrete-time infinite dimensional systems

DOI10.1093/IMAMCI/DNX015MaRDI QIDQ4555882zbMATH OpenOpenAlexFDO

Authors Atte Aalto

Publication date 23 November 2018

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.7160

zbMATH Keywords

infinite dimensional systemsKalman filteroptimal estimationreduced-order filteringRiccati equationspatial discretization

Mathematics Subject Classification ID

System structure simplification (93B11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Abstract: We derive a reduced-order state estimator for discrete-time infinite dimensional linear systems with finite dimensional Gaussian input and output noise. This state estimator is the optimal one-step estimate that takes values in a fixed finite dimensional subspace of the system's state space --- consider, for example, a Finite Element space. We then derive a Riccati difference equation for the error covariance and use sensitivity analysis to obtain a bound for the error of the state estimate due to the state space discretization.

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Cited in

(5)

• A reduced basis Kalman filter for parametrized partial differential equations
• State estimation approach to nonstationary inverse problems: discretization error and filtering problem
• Kalman filtering with constrained output injection
• Discretization error in dynamical inverse problems: one-dimensional model case
• Optimal output estimation for infinite-dimensional systems with disturbances

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