A stochastic unknown input realization and filtering technique

DOI10.1016/J.AUTOMATICA.2015.10.013zbMATH Open1329.93141arXiv1407.6404OpenAlexW1603129933MaRDI QIDQ901167FDOQ901167

Authors: Dan Yu, Suman Chakravorty 

Publication date: 23 December 2015

Published in: Automatica (Search for Journal in Brave)

Abstract: This paper studies the state estimation problem of linear discrete-time systems with stochastic unknown inputs. The unknown input is a wide-sense stationary process while no other prior informaton needs to be known. We propose an autoregressive (AR) model based unknown input realization technique which allows us to recover the input statistics from the output data by solving an appropriate least squares problem, then fit an AR model to the recovered input statistics and construct an innovations model of the unknown inputs using the eigensystem realization algorithm (ERA). An augmented state system is constructed and the standard Kalman filter is applied for state estimation. A reduced order model (ROM) filter is also introduced to reduce the computational cost of the Kalman filter. Two numerical examples are given to illustrate the procedure.

Full work available at URL: https://arxiv.org/abs/1407.6404

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zbMATH Keywords

ARMA modelssystem identificationstatistical analysisunknown input filtering

Mathematics Subject Classification ID

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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Cited In (5)

• The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares
• Nonlinear unknown input observer based on singular value decomposition aided reduced dimension cubature Kalman filter
• State estimation with partially observed inputs: a unified Kalman filtering approach
• A multi-step input and state estimation for the linear discrete-time stochastic system and its application to the anaerobic digestion process
• An iterative state-space identification method with data correlation for MIMO systems with measurement noise

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