Receding-horizon estimation for switching discrete-time linear systems

Receding-horizon 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 for each mode are assumed to be linear and perfectly known, but the current mode of the system is unknown, the state variables are not perfectly measurable and are affected by disturbances. The system mode is regarded as an unknown discrete state to be estimated together with the continuous state vector. Observability conditions are found to distinguish the system mode in the presence of bounded system and measurement noises. These results allow one to construct an estimator that relies on the combination of the identification of the discrete state with the estimation of the state variables by minimizing a receding-horizon quadratic cost function. The convergence properties of such an estimator are studied, and simulation results are reported to show the effectiveness of the proposed approach.     

Robust receding-horizon state estimation for uncertain discrete-time linear systems

An approach to robust receding-horizon state estimation for discrete-time linear systems is presented. Estimates of the state variables can be obtained by minimizing a worst-case quadratic cost function according to a sliding-window strategy. This leads to state the estimation problem in the form of a regularized least-squares one with uncertain data. The optimal solution (involving on-line scalar minimization) together with a suitable closed-form approximation are given. The stability properties of the estimation error for both the optimal filter and the approximate one have been studied and conditions to select the design parameters are proposed. Simulation results are reported to show the effectiveness of the proposed approach.     

Design of Asymptotic Estimators: An Approach Based on Neural Networks and Nonlinear Programming

A methodology to design state estimators for a class of nonlinear continuous-time dynamic systems that is based on neural networks and nonlinear programming is proposed. The estimator has the structure of a Luenberger observer with a linear gain and a parameterized (in general, nonlinear) function, whose argument is an innovation term representing the difference between the current measurement and its prediction. The problem of the estimator design consists in finding the values of the gain and of the parameters that guarantee the asymptotic stability of the estimation error. Toward this end, if a neural network is used to take on this function, the parameters (i.e., the neural weights) are chosen, together with the gain, by constraining the derivative of a quadratic Lyapunov function for the estimation error to be negative definite on a given compact set. It is proved that it is sufficient to impose the negative definiteness of such a derivative only on a suitably dense grid of sampling points. The gain is determined by solving a Lyapunov equation. The neural weights are searched for via nonlinear programming by minimizing a cost penalizing grid-point constraints that are not satisfied. Techniques based on low-discrepancy sequences are applied to deal with a small number of sampling points, and, hence, to reduce the computational burden required to optimize the parameters. Numerical results are reported and comparisons with those obtained by the extended Kalman filter are made     

Fuzzy Set-Membership Filtering for Discrete-Time Nonlinear Systems

In this article, the problem of state estimation is addressed for discrete-time nonlinear systems subject to additive unknown-but-bounded noises by using fuzzy set-membership filtering. First, an improved T-S fuzzy model is introduced to achieve highly accurate approximation via an affine model under each fuzzy rule. Then, compared to traditional prediction-based ones, two types of fuzzy set-membership filters are proposed to effectively improve filtering performance, where the structure of both filters consists of two parts: prediction and filtering. Under the locally Lipschitz continuous condition of membership functions, unknown membership values in the estimation error system can be treated as multiplicative noises with respect to the estimation error. Real-time recursive algorithms are given to find the minimal ellipsoid containing the true state. Finally, the proposed optimization approaches are validated via numerical simulations of a one-dimensional and a three-dimensional discrete-time nonlinear systems.      

Cubature Kalman Filter Under Minimum Error Entropy With Fiducial Points for INS/GPS Integration

Traditional cubature Kalman filter(CKF)is a preferable tool for the inertial navigation system(INS)/global positioning system(GPS)integration under Gaussian noises.The CKF,however,may provide a significantly biased estimate when the INS/GPS system suffers from complex non-Gaussian disturbances.To address this issue,a robust nonlinear Kalman filter referred to as cubature Kalman filter under minimum error entropy with fiducial points(MEEF-CKF)is proposed.The MEEF-CKF behaves a strong robustness against complex nonGaussian noises by operating several major steps,i.e.,regression model construction,robust state estimation and free parameters optimization.More concretely,a regression model is constructed with the consideration of residual error caused by linearizing a nonlinear function at the first step.The MEEF-CKF is then developed by solving an optimization problem based on minimum error entropy with fiducial points(MEEF)under the framework of the regression model.In the MEEF-CKF,a novel optimization approach is provided for the purpose of determining free parameters adaptively.In addition,the computational complexity and convergence analyses of the MEEF-CKF are conducted for demonstrating the calculational burden and convergence characteristic.The enhanced robustness of the MEEF-CKF is demonstrated by Monte Carlo simulations on the application of a target tracking with INS/GPS integration under complex nonGaussian noises.     

Polynomial filtering for nonlinear stochastic systems with state‐ and disturbance‐dependent noises

This article is concerned with the polynomial filtering problem for a class of nonlinear stochastic systems governed by the Itô differential equation. The system under investigation involves polynomial nonlinearities, unknown‐but‐bounded disturbances, and state‐ and disturbance‐dependent noises ((x,d)‐dependent noises for short). By expanding the polynomial nonlinear functions in Taylor series around the state estimate, a new polynomial filter design method is developed with hope to reduce the conservatism of the existing results. In virtue of stochastic analysis and inequality technique, sufficient conditions in terms of parameter‐dependent linear matrix inequalities (PDLMIs) are derived to guarantee that the estimation error system is input‐to‐state stable in probability. Moreover, the desired polynomial matrix can be obtained by solving the PDLMIs via the sum‐of‐squares approach. The effectiveness and applicability of the proposed method are illustrated by two numerical examples with one concerning the permanent magnet synchronous motor.     

Nonlinear blind equalization schemes using complex-valued multilayer feedforward neural networks.

Among the useful blind equalization algorithms, stochastic-gradient iterative equalization schemes are based on minimizing a nonconvex and nonlinear cost function. However, as they use a linear FIR filter with a convex decision region, their residual estimation error is high. In the paper, four nonlinear blind equalization schemes that employ a complex-valued multilayer perceptron instead of the linear filter are proposed and their learning algorithms are derived. After the important properties that a suitable complex-valued activation function must possess are discussed, a new complex-valued activation function is developed for the proposed schemes to deal with QAM signals of any constellation sizes. It has been further proven that by the nonlinear transformation of the proposed function, the correlation coefficient between the real and imaginary parts of input data decreases when they are jointly Gaussian random variables. Last, the effectiveness of the proposed schemes is verified in terms of initial convergence speed and MSE in the steady state. In particular, even without carrier phase tracking procedure, the proposed schemes correct an arbitrary phase rotation caused by channel distortion.     

量测随机延迟下带相关乘性噪声的非线性系统分布式估计

本文提出了乘性噪声和加性噪声相关下的量测随机延迟非线性系统分布式状态估计.在所考虑系统中,相关状态被多传感器簇构成的传感器网所观测.所得理想量测被传送到远程分布式处理网,并伴随服从一阶马尔可夫过程的随机延迟.在此基础上,本文提出了分布式高斯信息滤波(distributed Gaussian-information filter,DGIF),来实现估计精度与计算时间的折中.在单处理节点/单元中,以估计误差协方差最小化为准则,设计了相应的高斯递推滤波,并实现了延迟概率的在线递推估计.进一步地,在分布式处理网中,基于非线性量测方程的统计线性回归,结合一致性算法,给出了一种分布式信息滤波形式,有效实现了分布式融合.分别在单处理单元和分布式处理网中仿真验证了所提算法的有效性.     

A quadratic-cost dual control-based approach for optimal trajectory planning under uncertainty

This paper presents a dual control-based approach for optimal trajectory planning under uncertainty. The method approximately converts a nonlinear stochastic optimal control problem whose objective function is a combination of quadratic stage and/or terminal costs, with additive Gaussian process and measurement noises, into a deterministic optimal control problem by augmenting the uncertainty state defined by the square-root of the estimation error covariance matrix. The open-loop solution to the resulting deterministic optimal control reformulation is obtained using an existing pseudo-spectral method. The effectiveness of the proposed dual control-based approach is verified with two numerical examples of trajectory planning for two-dimensional robot motion with lack of observability for localization, which highlights the impact of the dual effect on the shape of designed paths.

     

带宽受限下的基于一致性的分布式融合估计器

研究带宽受限下的基于一致性的分布式融合估计问题. 建立以一致性滤波增益为决策变量, 以所有传感器有限时域下融合估计误差协方差矩阵的迹的和为代价函数的优化问题. 在给定一致性权重的前提下, 给出使得系统融合估计误差在无噪声时渐近稳定的一致性滤波增益存在的充分条件, 并通过最小化代价函数的上界得到一组次优的一致性滤波增益. 最后通过算例仿真验证了所提出方法的有效性.     

Constrained particle filter approach to approximate the arrival cost in Moving Horizon Estimation

Moving Horizon Estimation (MHE) is an efficient state estimation method used for nonlinear systems. Since MHE is optimization-based it provides a good framework to handle bounds and constraints when they are required to obtain good state and parameter estimates. Recent research in this area has been directed to develop computationally efficient algorithms for on-line application. However, an open issue in MHE is related to the approximation of the so-called arrival cost and of the parameters associated with it. The arrival cost is very important since it provides a means to incorporate information from the previous measurements to the current state estimate. It is difficult to calculate the true value of the arrival cost; therefore approximation techniques are commonly applied. The conventional method is to use the Extended Kalman Filter (EKF) to approximate the covariance matrix at the beginning of the prediction horizon. This approximation method assumes that the state estimation error is Gaussian. However, when state estimates are bounded or the system is nonlinear, the distribution of the estimation error becomes non-Gaussian. This introduces errors in the arrival cost term which can be mitigated by using longer horizon lengths. This measure, however, significantly increases the size of the nonlinear optimization problem that needs to be solved on-line at each sampling time. Recently, particle filters and related methods have become popular filtering methods that are based on Monte-Carlo simulations. In this way they implement an optimal recursive Bayesian Filter that takes advantage of particle statistics to determine the probability density properties of the states. In the present work, we exploit the features of these sampling-based methods to approximate the arrival cost parameters in the MHE formulation. Also, we show a way to construct an estimate of the log-likelihood of the conditional density of the states using a Particle Filter (PF), which can be used as an approximation of the arrival cost. In both cases, because particles are being propagated through the nonlinear system, the assumption of Gaussianity of the state estimation error can be dropped. Here we developed and tested EKF and eight different types of sample based filters for updating the arrival cost parameters in the weighted 2-norm approach (see Table 1 for the full list). We compare the use of constrained and unconstrained filters, and note that when bounds are required the constrained particle filters give a better approximation of the arrival cost parameters that improve the performance of MHE. Moreover, we also used PF concepts to directly approximate the negative of the log-likelihood of the conditional density using unconstrained and constrained particle filters to update the importance distribution. Also, we show that a benefit of having a better approximation of the arrival cost is that the horizon length required for the MHE can be significantly smaller than when using the conventional MHE approach. This is illustrated by simulation studies done on benchmark problems proposed in the state estimation literature.     

Error‐constrained finite‐horizon tracking control with incomplete measurements and bounded noises

This paper is concerned with the finite‐horizon tracking control problem for discrete nonlinear time‐varying systems with state delays, bounded noises and incomplete measurement output. The exogenous bounded noises are unknown and confined to specified ellipsoidal sets. A deterministic measurement output model is proposed to account for the incomplete data transmission phenomenon caused by possible sensor aging or failures. The aim of the addressed tracking control problem is to develop an observer‐based control over a finite‐horizon such that, for the admissible time delays, nonlinearities and bounded noises, both the quadratic tracking error and the estimation error are not more than certain upper bounds that are minimized at every time step. A recursive linear matrix inequality approach is used to solve the problem addressed. The observer and controller parameters are characterized in terms of the solution to a convex optimization problem that can be easily solved by using the semi‐definite programme method. A simulation example is exploited to illustrate the effectiveness of the proposed design procedures. Copyright © 2011 John Wiley & Sons, Ltd.     

基于最小均方误差估计的噪声相关UKF设计

传统Unscented卡尔曼滤波器(UKf)要求系统噪声和量测噪声必须是互不相关的.针对此局限性,研究了一类带相关噪声的非线性离散系统UKF设计方法.基于最小均方误差估计和正交变换,给出了噪声相关UKF滤波递推公式,并采用Unscented变换(UT)来计算系统状态的后验分布.所设计的UKF有效解决了传统UKF在噪声相关条件下非线性滤波失效的问题,拓展了UKF的应用范围.最后,仿真实例表明了所设计UKF的有效性.     

Multi-sensor information fusion estimators for stochastic uncertain systems with correlated noises

The information fusion estimation problems are investigated for multi-sensor stochastic uncertain systems with correlated noises. The stochastic uncertainties caused by correlated multiplicative noises exist in the state and observation matrices. The process noise and the observation noises are one-step auto-correlated and two-step cross-correlated, respectively. While the observation noises of different sensors are one-step cross-correlated. The optimal centralized fusion filter, predictor and smoother are proposed in the linear minimum variance sense via an innovative analysis approach. To enhance the robustness and flexibility, a distributed fusion filter is put forward, which requires the calculation of filtering error cross-covariance matrices between any two local filters. To avoid the calculation of cross-covariance matrices, another distributed fusion filter is also presented by using the covariance intersection (CI) fusion algorithm, which can reduce the computational cost. A simulation example is given to show the effectiveness of the proposed algorithms.     

自适应快速弱敏无迹Kalman滤波算法

针对现有弱敏无迹Kalman滤波需要代数求解增益矩阵耗时长和不能实时调节敏感性权重的问题,提出一种自适应快速弱敏无迹Kalman滤波算法.该算法在弱敏控制技术的基础上,重新定义弱敏无迹Kalman滤波的敏感性权重矩阵,将状态估计误差对不确定参数的敏感性加入滤波的代价函数,并通过最小化该代价函数得到滤波增益矩阵的解析解,...     

Real‐time nonlinear moving horizon observer with pre‐estimation for aircraft sensor fault detection and estimation

This paper presents a real‐time nonlinear moving horizon observer (MHO) with pre‐estimation and its application to aircraft sensor fault detection and estimation. An MHO determines the state estimates by minimizing the output estimation errors online, considering a finite sequence of current and past measured data and the available system model. To achieve the real‐time implementability of such an online optimization–based observer, 2 particular strategies are adopted. First, a pre‐estimating observer is embedded to compensate for model uncertainties so that the calculation of disturbance estimates in a standard MHO can be avoided without losing much estimation performance. This strategy significantly reduces the online computational complexity. Second, a real‐time iteration scheme is proposed by performing only 1 iteration of sequential quadratic programming with local Gauss‐Newton approximation to the nonlinear optimization problem. Since existing stability analyses of real‐time moving horizon observers cannot address the incorporation of the pre‐estimating observer, a new stability analysis is performed in the presence of bounded disturbances and noises. Using a nonlinear passenger aircraft benchmark simulator, the simulation results show that the proposed approach achieves a good compromise between estimation performance and computational complexity compared with the extended Kalman filtering and 2 other moving horizon observers.     

A convex approach for NMPC based on second order Volterra series models

In model predictive control (MPC), the input sequence is computed, minimizing a usually quadratic cost function based on the predicted evolution of the system output. In the case of nonlinear MPC (NMPC), the use of nonlinear prediction models frequently leads to non‐convex optimization problems with several minimums. This paper proposes a new NMPC strategy based on second order Volterra series models where the original performance index is approximated by quadratic functions, which represent a lower bound of the original performance index. Convexity of the approximating quadratic cost functions can be achieved easily by a suitable choice of the weighting of the control increments in the performance index. The approximating cost functions can be globally minimized by convex optimization techniques in order to compute the input sequence. The minimization of the performance index is carried out by an iterative optimization procedure, which guarantees convergence to the solution. Furthermore, for a nominal prediction model, asymptotic stability for the proposed NMPC strategy can be shown. In the case of considering an estimation error in the prediction model, input‐to‐state practical stability is assured. The control performance of the NMPC strategy is illustrated by experimental results. Copyright © 2014 John Wiley & Sons, Ltd.     

非线性离散随机时变系统比例微分滤波

扩展卡尔曼滤波（EKF）是从极小化状态估计误差的方差得到的，没有考虑状态误差的变化率，因而对非线性时变系统EKF估计方法惯性作用 较大，从而产生估计滞后，提出了非线性离散随机系统比例微分滤波（PDF），PDF联合考虑极小化状态估计误差和状态误差变化率的方差，克服了EKF对非线性时变系统估计滞后的缺点，估计具有适时性，提出了高估计的精度，仿真例子证明了所提出的估计方法的有效性。     

Robust H/sub /spl infin// and mixed H/sub 2//H/sub /spl infin// filters for equalization designs of nonlinear communication systems: fuzzy interpolation approach

Generally, it is difficult to design equalizers for signal reconstruction of nonlinear communication channels with uncertain noises. In this paper, we propose the H/sub /spl infin// and mixed H/sub 2//H/sub /spl infin// filters for equalization/detection of nonlinear channels using fuzzy interpolation and linear matrix inequality (LMI) techniques. First, the signal transmission system is described as a state-space model and the input signal is embedded in the state vector such that the signal reconstruction (estimation) design becomes a nonlinear state estimation problem. Then, the Takagi-Sugeno fuzzy linear model is applied to interpolate the nonlinear channel at different operation points through membership functions. Since the statistics of noises are unknown, the fuzzy H/sub /spl infin// equalizer is proposed to treat the state estimation problem from the worst case (robust) point of view. When the statistics of noises are uncertain but with some nominal (or average) information available, the mixed H/sub 2//H/sub /spl infin// equalizer is employed to take the advantage of both H/sub 2/ optimal performance with nominal statistics of noises and the H/sub /spl infin// robustness performance against the statistical uncertainty of noises. Using the LMI approach, the fuzzy H/sub 2//H/sub /spl infin// equalizer/detector design problem is characterized as an eigenvalue problem (EVP). The EVP can be solved efficiently with convex optimization techniques.