On asymptotic behaviors of a sensitivity penalization based robust state estimator |
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Authors: | Tong Zhou Hua Yong Liang |
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Affiliation: | Department of Automation and TNList, Tsinghua University, Beijing, 100084, China |
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Abstract: | Asymptotic properties are investigated in this paper for the robust state estimator derived by Zhou (2008) 11]. A new formula is derived for the update of the pseudo-covariance matrix of estimation errors. In the case where plant nominal parameters are time invariant, it is shown that, in order to guarantee that this pseudo-covariance matrix converges to a constant positive definite matrix, it is necessary and sufficient that some stabilizability and detectability conditions are satisfied. It is also proved that when these conditions are satisfied, the robust estimator converges to a stable time-invariant system. Moreover, when the system is exponentially stable, this estimate is asymptotically unbiased and its estimation errors are upper bounded. |
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Keywords: | Recursive estimation Robustness Sensitivity penalization State estimation Structured parametric uncertainty |
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