Geometric methods for optimal sensor design

DOI10.1098/RSPA.2015.0312MaRDI QIDQ5363483zbMATH OpenOpenAlexWikidataFDO

Authors Mohamed-Ali Belabbas

Publication date 29 September 2017

Published in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.05968

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: An observer is an estimator of the state of a dynamical system from noisy sensor measurements. The need for observers is ubiquitous, with applications in fields ranging from engineering to biology to economics. The most widely used observer is the Kalman filter, which is known to be the optimal estimator of the state when the noise is additive and Gaussian. Because its performance is limited by the sensors to which it is paired, it is natural to seek an optimal sensor for the Kalman filter. The problem is however not convex and, as a consequence, many ad hoc methods have been used over the years to design sensors. We show in this paper how to characterize and obtain the optimal sensor for the Kalman filter. Precisely, we exhibit a positive definite operator which optimal sensors have to commute with. We furthermore provide a gradient flow to find optimal sensors, and prove the convergence of this gradient flow to the unique minimum in a broad range of applications. This optimal sensor yields the lowest possible estimation error for measurements with a fixed signal to noise ratio. The results presented here also apply to the dual problem of optimal actuator design.

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Cited in

(6)

• Sensor placement for optimal estimation of vector-valued diffusion processes
• Optimal designs for steady-state Kalman filters
• Design of a discrete Kalman filter for a tactile sensor in a feedback control system
• Sensor selection for Kalman filtering of linear dynamical systems: complexity, limitations and greedy algorithms
• Optimal design of sensors via geometric criteria
• Learning-based actuator selection for increased attack resilience of uncertain systems

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