共查询到20条相似文献,搜索用时 15 毫秒
1.
Seiichi Nakamori 《Automatica》1983,19(3):341-344
A discrete one-stage predictor algorithm using covariance information in linear systems is derived. The algorithm is obtained for white Gaussian observation noise. The signal is a nonstationary or stationary stochastic process. The auto-covariance function of the signal is expressed using a semi-degenerate kernel of discrete-time systems. The semi-degenerate kernel can represent general covariance functions of random processes by a finite sum of nonrandom functions. 相似文献
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A Cauchy system suitable for real-time calculation of the solution of integral equations with semi-degenerate kernels of the linear least squares smoothing problems for nonstationary signal process is developed using invariant imbedding theory. Digital simulation results indicate that the algorithms presented are leasible. 相似文献
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This paper states a new design method of recursive predictor and filter based on the innovations theory, using signal and noise covariance information, for white Gaussian and white Gaussian + coloured observation noises. The derived prediction and filtering algorithms estimate stationary stochastic signal processes.The digital simulation results indicate that the algorithms presented are feasible. 相似文献
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Least squares estimation techniques are employed to overcome previous difficulties encountered in accurately estimating the state and measurement noise covariance parameters in linear stochastic systems. In the past accurate and rapidly converging covariance parameter estimates have been achieved with complex estimation algorithms only after specifying the statistical nature of the noise in the system and constraining the time variation of the covariance parameters. Weighted least squares estimation allows these restrictions to be removed while achieving near optimal accuracy using a filter on the same order of complexity as a Kalman filter. Allowing the covariance parameters to vary in as general a manner in time as the state in a linear discrete time stochastic system, and assuming that a Kalman filter is applied to this system using incorrect knowledge of the a priori statistics, it is shown how a covariance system is developed similar to the original system. Unbiased least squares estimates of the covariance parameters and of the original state are obtained without the necessity of specifying the distribution on the noise in either system. The accuracy of these estimates approaches optimal accuracy with increasing measurements when adaptive Kalman filters are applied to each system. 相似文献
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The exact solution is derived for a stochastic optimal control problem involving a linear stochastic plant, quadratic costs, and nonlinear, nongaussian observations. The observations are in the form of a point process in which each point has both a temporal and a spatial coordinate. The state of the stochastic plant influences the intensity of the observed time-space point process. The solution to this dual control problem can be realized with a separated estimator-controller in which the estimator is nonlinear, mean-square optimal, and finite dimensional, and the controller is the certainty equivalent linear controller. Motivation for the stochastic optimal control problem studied here is given in terms of position sensing and tracking for quantum-limited optical communication problems. 相似文献
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The problem of optimal robust Kalman state estimation via limited capacity digital communication channels 总被引:4,自引:0,他引:4
This paper considers a state estimation problem for a continuous-time uncertain system via a digital communication channel with bit-rate constraints. The estimated state must be quantized, coded and transmitted via a limited capacity digital communication channel. Optimal and suboptimal recursive coder–decoder state estimation schemes are proposed and investigated. 相似文献
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We derive three new tests that can be applied to a Kalman filter to check for inconsistencies. The Filter Residual Test can detect observations that are outliers but would be missed by a basic residual test because the uncertainty of the expected observation is large relative to the uncertainty of the observation. The Smoother Residual Test uses the output from a Modified Bryson–Frazier (MBF) smoother to detect observations that are outliers. The Smoother State Test compares the state estimates from the filter and MBF smoother to detect model inconsistencies, in particular insufficient process noise. 相似文献
9.
Vinay A. BavdekarAnjali P. Deshpande Sachin C. Patwardhan 《Journal of Process Control》2011,21(4):585-601
The performance of Bayesian state estimators, such as the extended Kalman filter (EKF), is dependent on the accurate characterisation of the uncertainties in the state dynamics and in the measurements. The parameters of the noise densities associated with these uncertainties are, however, often treated as ‘tuning parameters’ and adjusted in an ad hoc manner while carrying out state and parameter estimation. In this work, two approaches are developed for constructing the maximum likelihood estimates (MLE) of the state and measurement noise covariance matrices from operating input-output data when the states and/or parameters are estimated using the EKF. The unmeasured disturbances affecting the process are either modelled as unstructured noise affecting all the states or as structured noise entering the process predominantly through known, but unmeasured inputs. The first approach is based on direct optimisation of the ML objective function constructed by using the innovation sequence generated from the EKF. The second approach - the extended EM algorithm - is a derivative-free method, that uses the joint likelihood function of the complete data, i.e. states and measurements, to compute the next iterate of the decision variables for the optimisation problem. The efficacy of the proposed approaches is demonstrated on a benchmark continuous fermenter system. The simulation results reveal that both the proposed approaches generate fairly accurate estimates of the noise covariances. Experimental studies on a benchmark laboratory scale heater-mixer setup demonstrate a marked improvement in the predictions of the EKF that uses the covariance estimates obtained from the proposed approaches. 相似文献
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Numerical characteristics of various Kalman filter algorithms are illustrated with a realistic orbit determination study. The case study of this paper highlights the numerical deficiencies of the conventional and stabilized Kalman algorithms. Computational errors associated with these algorithms are found to be so large as to obscure important mismodeling effects and thus cause misleading estimates of filter accuracy. The positive result of this study is that the U-D covariance factorization algorithm has excellent numerical properties and is computationally efficient, having CPU costs that differ negligibly from the conventional Kalman costs. Accuracies of the U-D filter using single precision arithmetic consistently match the double precision reference results. Numerical stability of the U-D filter is further demonstrated by its insensitivity to variations in the a priori statistics. 相似文献
12.
传统CKF采用三阶球面径向容积定律来计算非线性积分,该定律将球面数值积分与径向积分相结合,难以构造高阶CKF算法。此外,CKF在许多非线性问题上表现出估计精度低等问题。为了解决以上问题,提出了一种广义CKF族,所提算法彻底抛弃了球面径向积分定律。进一步指出,传统CKF是这种滤波算法的特殊形式。实验结果表明,高阶CKF比传统的非线性滤波器准确性更高。 相似文献
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Huazhen Fang Ning Tian Yebin Wang MengChu Zhou Mulugeta A. Haile 《IEEE/CAA Journal of Automatica Sinica》2018,5(2):401-417
This article presents an up-to-date tutorial review of nonlinear Bayesian estimation. State estimation for nonlinear systems has been a challenge encountered in a wide range of engineering fields, attracting decades of research effort. To date, one of the most promising and popular approaches is to view and address the problem from a Bayesian probabilistic perspective, which enables estimation of the unknown state variables by tracking their probabilistic distribution or statistics (e.g., mean and covariance) conditioned on a system's measurement data. This article offers a systematic introduction to the Bayesian state estimation framework and reviews various Kalman filtering (KF) techniques, progressively from the standard KF for linear systems to extended KF, unscented KF and ensemble KF for nonlinear systems. It also overviews other prominent or emerging Bayesian estimation methods including Gaussian filtering, Gaussian-sum filtering, particle filtering and moving horizon estimation and extends the discussion of state estimation to more complicated problems such as simultaneous state and parameter/input estimation. 相似文献
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A novel narrow band time-varying digital filter is proposed, which has desirable properties such as global asymptotic stability, asymptotic noise annihilation and asymptotic signal tracking. It is shown that the proposed filter is comparable to the Kalman filter in performance, but with substantial computational simplicity; no Ricatti equation is involved. It is basically a Fourier analysis method but the Fourier coefficients are found recursively. The application of the proposed filter for on-line identification of a linear multivariable system subject to both deterministic and stochastic disturbances is presented; simulation results are given. 相似文献
17.
Xing ZhuAuthor VitaeYeng Chai SohAuthor Vitae Lihua XieAuthor Vitae 《Automatica》2002,38(6):1069-1077
In this paper, the problem of finite and infinite horizon robust Kalman filtering for uncertain discrete-time systems is studied. The system under consideration is subject to time-varying norm-bounded parameter uncertainty in both the state and output matrices. The problem addressed is the design of linear filters having an error variance with an optimized guaranteed upper bound for any allowed uncertainty. A novel technique is developed for robust filter design. This technique gives necessary and sufficient conditions to the design of robust quadratic filters over finite and infinite horizon in terms of a pair of parameterized Riccati equations. Feasibility and convergence properties of the robust quadratic filters are also analyzed. 相似文献
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Angelo Alessandri Author Vitae 《Automatica》2010,46(11):1870-1876
State estimation is addressed for a class of discrete-time systems that may switch among different modes taken from a finite set. The system and measurement equations of each mode are assumed to be linear and perfectly known, but the current mode of the system is unknown. Moreover, additive, independent, normally distributed noises are assumed to affect the dynamics and the measurements. First, relying on a well-established notion of mode observability developed “ad hoc” for switching systems, an approach to system mode estimation based on a maximum-likelihood criterion is proposed. Second, such a mode estimator is embedded in a Kalman filtering framework to estimate the continuous state. Under the unique assumption of mode observability, stability properties in terms of boundedness of the mean square estimation error are proved for the resulting filter. Simulation results showing the effectiveness of the proposed filter are reported. 相似文献
19.
In this paper, a discrete-time iterative learning Kalman filter scheme is proposed for repetitive processes to reject repeatable disturbances as well as random noises. The proposed state estimator scheme integrates Kalman filter with iterative learning control. The estimation process contains two stages: a conventional Kalman filter is applied in the first stage; the second stage refines the estimates in an iterative learning fashion, leading to a gradual improvement on the estimation performance. According to the estimates that the first stage feeds to the second stage, the optimal design includes two types – posterior type and priori type. In order to reduce the memory and computation load of the optimal design, two suboptimal estimators are provided as well. The stability of the both suboptimal estimators is also studied. Furthermore, a lower bound is given to estimate the ultimate estimation performance before implementing any estimation. Finally, an illustrative example of injection molding is given to verify the performance of the four estimators developed. 相似文献
20.
Xiaojun Yang Hongxing Zou Zhijie Zhou Jianjiang Ding Daizhi Liu 《International journal of systems science》2013,44(6):717-726
The fuzzy extended Kalman filter (FEKF) for state estimation can be used to deal with fuzzy uncertainty effectively. However, the linearisation processing of the FEKF introduces truncation error, which degrades the estimation precision. In order to reduce the error, a new iterated fuzzy extended Kalman filter (IFEKF), based on the FEKF and the maximum a posteriori estimation, is proposed in this article. Compared with the FEKF, the proposed algorithm can be used not only to deal with the fuzzy uncertainty, but also to reduce the truncation error and to estimate the states more accurately. With an algebraic example and a passive location simulation, it is shown that the IFEKF has better estimation precision than that of the FEKF. 相似文献