共查询到20条相似文献,搜索用时 11 毫秒
1.
W.L. De Koning 《Automatica》1984,20(1):113-115
This paper considers optimal linear state estimation in the general case of linear discrete-time systems with stochastic parameters which are statistically independent with respect to time. The estimator is derived by transforming the system to one with deterministic parameters and state dependent additive system and observation noise. It is shown that mean square stability of the system is a sufficient and almost necessary condition for the existence, uniqueness and stability of the time invariant estimator. 相似文献
2.
This paper presents a result on the design of a steady-state robust state estimator for a class of uncertain discrete-time linear systems with normal bounded uncertainty. This result extends the steady state Kalman filter to the case in which the underlying system is uncertain. A procedure is given for the construction of a state estimator which minimizes a bound on the state error covariance. It is shown that this leads to a state estimator which is optimal with respect to a notion of quadratic guaranteed cost state estimation. 相似文献
3.
M.-G.Myung-Gon Yoon Valery A. Ugrinovskii Ian R. Petersen 《Systems & Control Letters》2004,52(2):99-112
We study a finite-horizon robust minimax filtering problem for time-varying discrete-time stochastic uncertain systems. The uncertainty in the system is characterized by a set of probability measures under which the stochastic noises, driving the system, are defined. The optimal minimax filter has been found by applying techniques of risk-sensitive LQG control. The structure and properties of resulting filter are analyzed and compared to H∞ and Kalman filters. 相似文献
4.
Xiaomei Liu Kanjian Zhang Shengtao Li Shumin Fei Haikun Wei 《International Journal of Control, Automation and Systems》2014,12(4):769-776
Optimal switch-time control is the study that investigates how best to switch between different modes. In this paper, we investigate the optimal switch-time control problem for discrete-time linear switched stochastic systems. In particular, under the assumption that the sequence of active subsystems is pre-specified, we focus on the problem where the objective is to minimize a cost functional defined on the states and the switching times are the only control variables. For systems with one switching time, using calculus of variations, we firstly derive the difference formulae of the cost functional with respect to the switching time, which can be directly used to find the optimal switching instant. Then, a method is presented to deal with the problem with multiple switching times case. Finally, the viability of the proposed method is illustrated through two numerical examples. 相似文献
5.
This paper aims at characterizing the most destabilizing switching law for discrete-time switched systems governed by a set of bounded linear operators. The switched system is embedded in a special class of discrete-time bilinear control systems. This allows us to apply the variational approach to the bilinear control system associated with a Mayer-type optimal control problem, and a second-order necessary optimality condition is derived. Optimal equivalence between the bilinear system and the switched system is analyzed, which shows that any optimal control law can be equivalently expressed as a switching law. This specific switching law is most unstable for the switched system, and thus can be used to determine stability under arbitrary switching. Based on the second-order moment of the state, the proposed approach is applied to analyze uniform mean-square stability of discrete-time switched linear stochastic systems. Numerical simulations are presented to verify the usefulness of the theoretic results. 相似文献
6.
In this paper, the optimal filtering problem is investigated for a class of networked systems in the presence of stochastic sensor gain degradations. The degradations are described by sequences of random variables with known statistics. A new measurement model is put forward to account for sensor gain degradations, network-induced time delays as well as network-induced data dropouts. Based on the proposed new model, an optimal unbiased filter is designed that minimizes the filtering error variance at each time-step. The developed filtering algorithm is recursive and therefore suitable for online application. Moreover, both currently and previously received signals are utilized to estimate the current state in order to achieve a better accuracy. A numerical simulation is exploited to illustrate the effectiveness of the proposed algorithm. 相似文献
7.
Recursive estimation for nonlinear discrete-time stochastic systems with additive white Gaussian observation noise is investigated. It is proved that for certain classes of systems, described either by finite Volterra series expansions or by state-linear realizations under certain algebraic conditions, the optimal conditional mean estimator is recursive and of fixed finite dimension. An example is presented to illustrate the structure of the estimators. 相似文献
8.
Åke Wernersson 《Automatica》1974,10(1):113-115
In a recent paper [1] a control law was found, which was claimed to be optimal. Here we point out an error in the proof and give a counterexample. In fact, the control law in [1] can be seen as a “passive open loop approximation”. We suggest also a control law which actively identifies the random variables in the loop. 相似文献
9.
Optimal linear filtering for systems of stochastic differential equations with poisson perturbations
The Kalman–Bucy filter that can be modeled by computer statistical design is constructed for stochastic dynamic systems with
Poisson perturbations. It is proved that a stationary filter coincides with the Wiener filter for the optimal mean-square
filtering of stationary sequences in the absence of Poisson perturbations. 相似文献
10.
This paper is concerned with the estimation problem for discrete-time stochastic linear systems with possible
single unit delay and multiple packet dropouts. Based on a proposed uncertain model in data transmission, an optimal
full-order filter for the state of the system is presented, which is shown to be of the form of employing the received outputs
at the current and last time instants. The solution to the optimal filter is given in terms of a Riccati difference equation
governed by two binary random variables. The optimal filter is reduced to the standard Kalman filter when there are no
random delays and packet dropouts. The steady-state filter is also investigated. A sufficient condition for the existence of
the steady-state filter is given. The asymptotic stability of the optimal filter is analyzed. 相似文献
11.
Engin Yaz 《Systems & Control Letters》1985,5(5):321-326
This letter presents a solution to the problem of stabilization by a constant feedback of a linear system whose system and control matrices are multiplied by scalar correlated noise sequences. 相似文献
12.
13.
In this paper, the risk-sensitive filtering problem with time-varying delay is investigated. The problem is transformed into Krein space as an equivalent optimisation problem. The observations with time-varying delays are restructured as ones with multiple constant delays by defining a binary variable model with respect to the arrival process of observations, containing the same state information as the original. Finally, the reorganised innovation analysis approach in Krein space allows the solution to the proposed risk-sensitive filtering in terms of the solutions to Riccati and matrix difference equations. 相似文献
14.
In this work, the state estimation problem for linear discrete-time systems with non-Gaussian state and output noises is dealt with. By following a geometric approach, an optimal recursive second-order polynomial estimate is proposed, which actually improves the widely used optimal linear one 相似文献
15.
16.
A realistic stochastic control problem for hybrid systems with Markovian jump parameters can have switching parameters in both the state and the measurement equations. Furthermore, both the `base' and jump states, in general, are not perfectly observed. There are only two existing controllers for this problem, both with complexity exponentially increasing with time. The authors present another control algorithm for stochastic systems with Markovian jump parameters. This algorithm is derived through the use of stochastic dynamic programming and is designed to be used for realistic stochastic control problems, i.e., with noisy state observations. This scheme has fixed computational requirements at each stage and a natural parallel implementation. Simulation results are used to compare the algorithm with previous schemes 相似文献
17.
In this paper, a set-membership filtering problem is considered for systems with polytopic uncertainty. A recursive algorithm for calculating an ellipsoid which always contains the state is developed. In the prediction step, a predicted state ellipsoid is determined; in the update step, a state estimation ellipsoid is computed by combining the predicted state ellipsoid and the set of states compatible with the measurement equation. A smallest possible estimate set is calculated recursively by solving the semi-definite programming problems. Hence, the proposed set-membership filter relies on a two-step prediction–correction structure, which is similar to the Kalman filter. Simulation results are provided to demonstrate the effectiveness of the proposed method. 相似文献
18.
Kalman filtering for general discrete-time linear systems 总被引:1,自引:0,他引:1
Nikoukhah R. Campbell S.L. Delebecque F. 《Automatic Control, IEEE Transactions on》1999,44(10):1829-1839
19.
Various optimal control problems for discrete-time systems with time-lag controls are discussed. Some of the basic features of this type of system are noted. A simple example is given for illustrative purpose. 相似文献