Simultaneous Input and State Estimation for Linear Time-Varying Continuous-Time Stochastic Systems

DOI10.1109/TAC.2016.2601688MaRDI QIDQ5280437zbMATH OpenOpenAlexFDO

Authors Sze Zheng Yong, Minghui Zhu, Emilio Frazzoli

Publication date 27 July 2017

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

Full work available at URL https://arxiv.org/abs/1608.04135

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

Abstract: In this paper, we present an optimal filter for linear time-varying continuous-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense. We first show that the unknown inputs cannot be estimated without additional assumptions. Then, we discuss two complementary variants of the filter: (i) for the case when an additional measurement containing information about the state derivative is available, and (ii) for the case without the additional measurement but the input signals are assumed to be sufficiently smooth and have bounded derivatives. Conditions for uniform asymptotic stability and the existence of a steady-state solution for the proposed filter, as well as the convergence rate of the state and input estimate biases are given. Moreover, we show that a principle of separation of estimation and control holds and that the unknown inputs may be rejected. Two examples, including a nonlinear vehicle reentry example, are given to illustrate that our filter is applicable even when some strong assumptions do not hold.

Cited in

(6)

• Event-based state and unknown input estimation for uncertain systems with stochastic nonlinearities
• Piecewise constant timed continuous PNs for the steady state estimation of stochastic PNs
• Simultaneous input and state estimation for stochastic nonlinear systems with additive unknown inputs
• Moving horizon estimation for multirate systems with time-varying time-delays
• Simultaneous input and state estimation with multi-step delay for linear stochastic systems based on infinity filtering and smoothing
• Multi-innovation stochastic gradient parameter and state estimation algorithm for dual-rate state-space systems with \(d\)-step time delay

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