Distributed moving horizon state estimation for nonlinear systems with bounded uncertainties

In this work, we propose a distributed moving horizon state estimation (DMHE) design for a class of nonlinear systems with bounded output measurement noise and process disturbances. Specifically, we consider a class of nonlinear systems that are composed of several subsystems and the subsystems interact with each other via their subsystem states. First, a distributed estimation algorithm is designed which specifies the information exchange protocol between the subsystems and the implementation strategy of the DMHE. Subsequently, a local moving horizon estimation (MHE) scheme is designed for each subsystem. In the design of each subsystem MHE, an auxiliary nonlinear deterministic observer that can asymptotically track the corresponding nominal subsystem state when the subsystem interactions are absent is taken advantage of. For each subsystem, the nonlinear deterministic observer together with an error correction term is used to calculate a confidence region for the subsystem state every sampling time. Within the confidence region, the subsystem MHE is allowed to optimize its estimate. The proposed DMHE scheme is proved to give bounded estimation errors. It is also possible to tune the convergence rate of the state estimate given by the DMHE to the actual system state. The performance of the proposed DMHE is illustrated via the application to a reactor-separator process example.     

Use of multiple models and qualitative knowledge for on-line moving horizon disturbance estimation and fault diagnosis

An integrated fault detection, fault isolation, and parameter estimation technique is presented in this paper. Process model parameters are treated as disturbances that dynamically affect the process outputs. A moving horizon estimation technique minimizes the error between process and model measurements over a finite horizon by calculating model parameter values across the estimation horizon. To implement qualitative process knowledge, this minimization is constrained such that only a limited number of different faults (parameters) may change during a specific horizon window. Multiple linear models are used to capture nonlinear process characteristics such as asymmetric response, variable dynamics, and changing gains. Problems of solution multiplicity and computational time are addressed. Results from a nonlinear chemical reactor simulation are presented.     

Moving horizon estimation for switching nonlinear systems

This paper is concerned with moving horizon estimation for a class of constrained switching nonlinear systems, where the system mode is regarded as an unknown discrete state to be estimated together with the continuous state. In this work, we establish the observability framework of switching nonlinear systems by proposing a series of concepts about observability and analyzing the properties of such concepts. By fully applying the observability properties, we prove the stability of the proposed moving horizon estimators. Simulation results are reported to verify the derived results.     

Inference of building occupancy signals using moving horizon estimation and Fourier regularization

We study the problem of estimating time-varying occupancy and ambient air flow signals using noisy carbon dioxide and flow sensor measurements. A regularized moving horizon estimation formulation is proposed that constrains time-varying signals to smooth Fourier expansions. We demonstrate that the regularization approach makes the estimator robust to high levels of noise. In addition, it requires minimal information about the shape of the signals. Computational experiments with simulated and real data demonstrate the effectiveness of the approach.     

Computing arrival cost parameters in moving horizon estimation using sampling based filters

Moving horizon estimation (MHE) is a numerical optimization based approach to state estimation, where the joint probability density function (pdf) of a finite state trajectory is sought, which is conditioned on a moving horizon of measurements. The joint conditional pdf depends on the a priori state pdf at the start of the horizon, which is a prediction pdf based on historical data outside the horizon. When the joint pdf is maximized, the arrival cost is a penalty term based on the a priori pdf in the MHE objective function. Traditionally, the a priori pdf is assumed as a multivariate Gaussian pdf and the extended Kalman filter (EKF) and smoother are used to recursively update the mean and covariance. However, transformation of moments through nonlinearity is poorly approximated by linearization, which can result in poor initialization of MHE. Sampling based nonlinear filters completely avoid Taylor series approximations of nonlinearities and attempt to approximate the non-Gaussian state pdf using samples and associated weights or probability mass points. The performance gains of sampling based filters over EKF motivate their use to formulate the arrival cost in MHE. The a priori mean and covariance are more effectively propagated through nonlinearities and the resulting arrival cost term can help to keep the horizon small. It is also possible to find closed-form approximations to the non-Gaussian a priori pdf from the sampling based filters. Thus, more realistic nonparametric arrival cost terms can be included by avoiding the Gaussian assumption. In this paper the use of the deterministic sampling based unscented Kalman filter, the class of random sampling based particle filter and the aggregate Markov chain based cell filter are discussed for initializing MHE. Two simulation examples are included to demonstrate the benefits of these methods over the traditional EKF approach.     

基于滚动时域估计的带约束运动目标跟踪*

针对实际的运动目标跟踪问题中存在的各种物理约束,采用基于在线滚动优化原理的滚动时域估计方法,将跟踪滤波问题转换为带约束的有限时域优化问题,并通过引入到达代价函数,有效减少了优化问题求解所需的计算量。最后,对实际的目标跟踪问题进行了滚动时域估计仿真研究。Monte Carlo仿真结果表明,滚动时域估计能有效提高跟踪精度,并且能在采样周期之内完成求解,满足在线估计的需要。     

基于滚动时域估计的非线性目标跟踪*

实际的雷达跟踪问题大多属于非线性问题,存在着各种物理约束,采用基于在线滚动优化原理的滚动时域估计方法可以有效地处理带约束非线性目标跟踪问题。滚动时域估计通过引入到达代价函数,将非线性跟踪滤波问题转换为带约束的有限时域优化问题,可以有效减少优化问题求解的计算量,能够显著提高状态估计的准确度。针对实际的雷达跟踪问题,仿真结果表明,滚动时域估计能有效地提高非线性目标跟踪的精度。     

Constrained state estimation for stochastic jump systems: moving horizon approach

We discuss the state estimation advantages for a class of linear discrete-time stochastic jump systems, in which a Markov process governs the operation mode, and the state variables and disturbances are subject to inequality constraints. The horizon estimation approach addressed the constrained state estimation problem, and the Bayesian network technique solved the stochastic jump problem. The moving horizon state estimator designed in this paper can produce the constrained state estimates with a lower error covariance than under the unconstrained counterpart. This new estimation method is used in the design of the restricted state estimator for two practical applications.     

Bayesian estimation via sequential Monte Carlo sampling—Constrained dynamic systems

Nonlinear and non-Gaussian processes with constraints are commonly encountered in dynamic estimation problems. Methods for solving such problems either ignore the constraints or rely on crude approximations of the model or probability distributions. Such approximations may reduce the accuracy of the estimates since they often fail to capture the variety of probability distributions encountered in constrained linear and nonlinear dynamic systems. This article describes a practical approach that overcomes these shortcomings via a novel extension of sequential Monte Carlo (SMC) sampling or particle filtering. Inequality constraints are imposed by accept/reject steps in the algorithm. The proposed approach provides samples representing the posterior distribution at each time point, and is shown to satisfy the same theoretical properties as unconstrained SMC. Illustrative examples show that results of the proposed approach are at least as accurate as moving horizon estimation, but computationally more efficient and in addition, the approach indicates the uncertainty associated with these estimates.     

基于改进UKF的滚动时域估计方法及其在PVC聚合过程中的应用

聚合过程具有高度非线性和时变性等特点,参数在线估计有助于聚合过程控制性能和优化效果的改善。滚动时域估计(MHE)方法是一种用于聚合过程参数和状态估计的有效方法。本文提出了一种基于改进无迹卡尔曼滤波(UKF)的滚动时域估计方法,用于氯乙烯聚合过程机理模型时变参数的估计。滚动时域估计方法的关键问题之一是抵达成本(Arroval Cost)的近似估算,文中采用2种采样策略来实现抵达成本的自适应计算和更新。将提出的方法应用于氯乙烯聚合过程传热系数的在线估计,并与传统的滚动时域估计方法相比较,体现了该方法的有效性。     

Moving horizon state estimation with global convergence using interval techniques: application to biotechnological processes

This work proposes an original method to estimate states in non-linear discrete-time systems with global convergence properties. The approach is based on the minimisation of a criterion (non-linear function, differentiable or not) that is the Euclidean norm of the difference between the estimated output and the measured output of the system over a considered time horizon. This method is based on an interval moving horizon state estimation method, called IMHSE, which is coupled to a technique of global optimisation of non-linear functions that uses interval arithmetic. The system states are described using a representation by interval numbers. The proposed technique is applied to biotechnological complex process models (solid substrate fermentation), and the results obtained through experimental and computer simulation demonstrate that this kind of estimator offers advantages over other observers and filters and can be easily implemented in an industrial context.     

Robust moving horizon estimation based output feedback economic model predictive control

In this work, we develop an economic model predictive control scheme for a class of nonlinear systems with bounded process and measurement noise. In order to achieve fast convergence of the state estimates to the actual system state as well as the robustness of the observer to measurement and process noise, a deterministic (high-gain) observer is first applied for a small time period with continuous output measurements to drive the estimation error to a small value; after this initial small time period, a robust moving horizon estimation scheme is used on-line to provide more accurate and smoother state estimates. In the design of the robust moving horizon estimation scheme, the deterministic observer is used to calculate reference estimates and confidence regions that contain the actual system state. Within the confidence regions, the moving horizon estimation scheme is allowed to optimize its estimates. The output feedback economic model predictive controller is designed via Lyapunov techniques based on state estimates provided by the deterministic observer and the moving horizon estimation scheme. The stability of the closed-loop system is analyzed rigorously and conditions that ensure the closed-loop stability are derived. Extensive simulations based on a chemical process example illustrate the effectiveness of the proposed approach.     

Bounded error moving horizon state estimator for non-linear continuous-time systems: application to a bioprocess system

This paper investigates moving horizon state estimation (MHSE) within a bounded-error context for continuous-time systems. Verified integration of the non-linear ordinary differential equations used as system equation is achieved with interval Taylor expansions. In addition, interval constraint propagation techniques are used in order to reduce the pessimism due to interval arithmetic. The new MHSE method is illustrated with a bio-process system, for several lengths of the time horizon.     

A detection-estimation scheme for state estimation in switching environments

A combined detection-estimation scheme is proposed for state estimation in linear systems with random Markovian noise statistics. The optimal MMSE estimator requires exponentially increasing memory and computations with time. The proposed approach is an attempt to circumvent this problem. Simulation results are presented which show the advantages of the proposed scheme over some of the existing suboptimal approaches.     

Simultaneous input and state estimation for nonlinear systems with applications to flow field estimation

This paper studies the problem of simultaneous input and state estimation (SISE) for nonlinear dynamical systems with and without direct input–output feedthrough. We take a Bayesian perspective to develop a sequential joint input and state estimation approach. Our scheme gives rise to a nonlinear Maximum a Posteriori optimization problem, which we solve using the classical Gauss–Newton method. The proposed approach generalizes a number of SISE methods presented in the literature. We illustrate the effectiveness of the proposed scheme for nonlinear systems with direct feedthrough in an oceanographic flow field estimation problem involving submersible drogues that measure position intermittently and acceleration continuously.     

A parametric programming approach to moving-horizon state estimation

We propose a solution to moving-horizon state estimation that incorporates inequality constraints in both a systematic and computationally efficient way, akin to Kalman filtering. The proposed method allows the on-line constrained optimization problem involved in moving-horizon state estimation to be solved offline, requiring only a look-up table and simple function evaluations for real-time implementation. The method is illustrated via simulations on a system that has been studied in literature.     

Moving-horizon state estimation for nonlinear discrete-time systems: New stability results and approximation schemes

A moving-horizon state estimation problem is addressed for a class of nonlinear discrete-time systems with bounded noises acting on the system and measurement equations. As the statistics of such disturbances and of the initial state are assumed to be unknown, we use a generalized least-squares approach that consists in minimizing a quadratic estimation cost function defined on a recent batch of inputs and outputs according to a sliding-window strategy. For the resulting estimator, the existence of bounding sequences on the estimation error is proved. In the absence of noises, exponential convergence to zero is obtained. Moreover, suboptimal solutions are sought for which a certain error is admitted with respect to the optimal cost value. The approximate solution can be determined either on-line by directly minimizing the cost function or off-line by using a nonlinear parameterized function. Simulation results are presented to show the effectiveness of the proposed approach in comparison with the extended Kalman filter.     

A continuation/GMRES method for fast computation of nonlinear receding horizon control

In this paper, a fast numerical algorithm for nonlinear receding horizon control is proposed. The control input is updated by a differential equation to trace the solution of an associated state-dependent two-point boundary-value problem. A linear equation involved in the differential equation is solved by the generalized minimum residual method, one of the Krylov subspace methods, with Jacobians approximated by forward differences. The error in the entire algorithm is analyzed and is shown to be bounded under some conditions. The proposed algorithm is applied to a two-link arm whose dynamics is highly nonlinear. Simulation results show that the proposed algorithm is faster than the conventional algorithms.