A unified filter for simultaneous input and state estimation of linear discrete-time stochastic systems
From MaRDI portal
Publication:901220
DOI10.1016/J.AUTOMATICA.2015.10.040zbMATH Open1329.93148arXiv1309.6627OpenAlexW2125079402MaRDI QIDQ901220FDOQ901220
Authors: Sze Zheng Yong, Minghui Zhu, Emilio Frazzoli 
Publication date: 23 December 2015
Published in: Automatica (Search for Journal in Brave)
Abstract: In this paper, we present a unified optimal and exponentially stable filter for linear discrete-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense, without making any assumptions on the direct feedthrough matrix. We also derive input and state observability/detectability conditions, and analyze their connection to the convergence and stability of the estimator. We discuss two variations of the filter and their optimality and stability properties, and show that filters in the literature, including the Kalman filter, are special cases of the filter derived in this paper. Finally, illustrative examples are given to demonstrate the performance of the unified unbiased minimum-variance filter.
Full work available at URL: https://arxiv.org/abs/1309.6627
Recommendations
- Unbiased minimum-variance input and state estimation for linear discrete-time systems
- Unbiased minimum-variance input and state estimation for linear discrete-time systems with direct feedthrough
- Unbiased minimum-variance state estimation for linear systems with unknown input
- Simultaneous input and state estimation for stochastic nonlinear systems with additive unknown inputs
- Optimal filtering for systems with unknown inputs
Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10)
Cites Work
- Title not available (Why is that?)
- Matrix mathematics. Theory, facts, and formulas
- Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
- \(H_\infty\) filtering for uncertain stochastic time-delay systems with sector-bounded nonlinearities
- Unbiased minimum-variance state estimation for linear systems with unknown input
- Unbiased minimum-variance linear state estimation
- Unbiased minimum variance estimation for systems with unknown exogenous inputs
- Extension of minimum variance estimation for systems with unknown inputs.
- On stable simultaneous input and state estimation for discrete-time linear systems
- A Spectral Test for Observability and Reachability of Time-Varying Systems
- On the optimality of recursive unbiased state estimation with unknown inputs
- Unbiased minimum-variance input and state estimation for linear discrete-time systems
- Distributed Function Calculation via Linear Iterative Strategies in the Presence of Malicious Agents
- Unbiased minimum-variance input and state estimation for linear discrete-time systems with direct feedthrough
- Finite-Horizon $H_{\infty} $ Filtering With Missing Measurements and Quantization Effects
- Strong detectability and observers
- Generalized Lyapunov Equation Approach to State-Dependent Stochastic Stabilization/Detectability Criterion
- Robust finite frequency \(H_\infty \) filtering for uncertain 2-D systems: the FM model case
- Infinite horizon stochastic \(H_2/H_\infty \)control for discrete-time systems with state and disturbance dependent noise
- Nonparametric input estimation in physiological systems: Problems, methods, and case studies
- Optimal filtering for systems with unknown inputs
- Extension of unbiased minimum-variance input and state estimation for systems with unknown inputs
- Robust two-stage Kalman filters for systems with unknown inputs
- On the global optimality of unbiased minimum-variance state estimation for systems with unknown inputs
- Title not available (Why is that?)
Cited In (43)
- Simultaneous state and unknown input set‐valued observers for quadratically constrained nonlinear dynamical systems
- Recursive state estimation for two-dimensional shift-varying systems with random parameter perturbation and dynamical bias
- The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares
- State estimation for stochastic discrete-time systems with multiplicative noises and unknown inputs over fading channels
- Improved input and state estimation for linear stochastic systems with direct feedthrough
- Adaptive modified input and state estimation for linear discrete-time system with unknown inputs
- Overall fault diagnosability evaluation for dynamic systems: a quantitative-qualitative approach
- Optimal position and velocity estimation for multi-USV positioning systems with range measurements
- State estimation with partially observed inputs: a unified Kalman filtering approach
- Simultaneous mode, input and state estimation for switched linear stochastic systems
- An internal model approach to estimation of systems with arbitrary unknown inputs
- Deadbeat unknown-input state estimation and input reconstruction for linear discrete-time systems
- Unbiased minimum-variance input and state estimation for linear discrete-time systems
- Unbiased minimum-variance input and state estimation for systems with unknown inputs: a system reformation approach
- Distributed simultaneous estimation of states and unknown inputs
- Equivalence of recursive three-step filter and infinity augmented Kalman filter for linear discrete-time stochastic systems with direct feedthrough
- Optimal state filter from sequential unknown input reconstruction: application to distributed state filtering
- Unbiased steady minimum-variance estimation for systems with measurement-delay and unknown inputs
- Unbiased minimum-variance input and state estimation for linear discrete-time systems with direct feedthrough
- On the asymptotic stability of minimum-variance unbiased input and state estimation
- A Kalman-filtering derivation of simultaneous input and state estimation
- Distributed consensus-based estimation with unknown inputs and random link failures
- SSUE: Simultaneous state and uncertainty estimation for dynamical systems
- Infinity augmented state Kalman filter and its application in unknown input and state estimation
- Event-based input and state estimation for linear discrete time-varying systems
- On privacy preserving data release of linear dynamic networks
- Time-distributed multi-step delayed input and state estimation
- On existence, optimality and asymptotic stability of the Kalman filter with partially observed inputs
- Event-based state and unknown input estimation for uncertain systems with stochastic nonlinearities
- Simultaneous input and state estimation: from a unified least-squares perspective
- Unknown input filtering under full accessibility attacks
- Filtering for systems subject to unknown inputs without a priori initial information
- On stable simultaneous input and state estimation for discrete-time linear systems
- Real-time numerical differentiation of sampled data using adaptive input and state estimation
- Simultaneous input and state estimation for stochastic nonlinear systems with additive unknown inputs
- Simultaneous input and state estimation with multi-step delay for linear stochastic systems based on infinity filtering and smoothing
- A limit Kalman filter and smoother for systems with unknown inputs
- Title not available (Why is that?)
- Parameter continuity in time-varying Gauss-Markov models for learning from small training data sets
- A Kalman-filtering derivation of input and state estimation for linear discrete-time systems with direct feedthrough
- Simultaneous input \& state estimation, singular filtering and stability
- Distributed simultaneous state-input estimation over sensor networks under quantized communication
- Intermediate‐variable‐based Kalman filter for linear time‐varying systems with unknown inputs
This page was built for publication: A unified filter for simultaneous input and state estimation of linear discrete-time stochastic systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q901220)
