KALMAN FILTERING WITH STATISTICAL STATE CONSTRAINTS

This paper presents new estimation methods for discrete fractional-order state-space systems with coloured measurement noise. A novel approach is proposed to convert a fractional system with coloured measurement noise to a system with white measurement noise in which the process and measurement noises are correlated with each other. In this paper, two new Kalman filter algorithms for fractional-order linear state-space systems with coloured measurement noise, as well as a new extended Kalman filter algorithm for state estimation in nonlinear fractional-order state-space systems with coloured measurement noise, are proposed. The accuracy of the equations and relations is confirmed in several theorems. The validity and effectiveness of the proposed algorithms are verified by simulation results and compared with previous work. Results show that for linear and nonlinear fractional-order systems with coloured noise, the proposed methods are more accurate than conventional methods regarding estimation error and estimation error covariance. Simulation results demonstrate that the proposed algorithms can accurately perform estimation in fractional-order systems with coloured measurement noise.

If a system and its observation are both represented in state space with linear equations, the system noise and the measurement noise are white, Gaussian, and mutually uncorrelated, and the system and measurement noise statistics are known exactly; then, a Kalman filter (KF) [1] with the same order as the system provides optimal state estimates in a way that is simple and fast and uses little memory. Because such estimators are of interest for designers, numerous linear and nonlinear problems have been solved using the KF, and many articles about KF applications appear every year. However, the KF is an infinite impulse response (IIR) filter [2]. Therefore, the KF performance may be poor if operational conditions are far from ideal [3]. Researchers working in the field of statistical signal processing and control are aware of the numerous issues facing the use of the KF in practice: insufficient robustness against mismodeling [4] and temporary uncertainties [2], the strong effect of the initial values [1], and high vulnerability to errors in the noise statistics [5]-[7].

A linear quadratic Gaussian (LQG) strategy controls a two-link flexible robot manipulator tracking a two-dimensional square trajectory 12.6 m/spl times/12.6 m. Slew angles together with a Gaussian white process and white or non-white measurement noise are fed into a LQG regulator (Kalman filter). A FLC strategy incorporates two fuzzy controllers substituted for the LQR state-space dynamics equations. Trajectories were obtained for the LQG strategy with Gaussian white and non-white measurement noise. The trajectory obtained for white measurement noise closely approaches a perfect square while those obtained for non-white measurement noise deviate. The trajectory obtained with the FLC strategy is similar to that for LQG with white measurement noise. Fuzzy control is found to provide robustness in operation and can be constructed with less mathematical complexity than LQG. The deviation in trajectories for LQG with non-white measurement noise suggests sub-optimal control and possible instability. This study has demonstrated the extent of deviation in tracking with an LQG strategy for non-white measurement noise and the FLC strategy as a viable option for precise and robust tracking control of a two-link flexible robot manipulator.

SummaryThis paper presents a novel state estimation approach for linear dynamic systems when measurements are corrupted by outliers. Since outliers can degrade the performance of state estimation, outlier accommodation is critical. The standard approach combines outlier detection utilizing Neyman‐Pearson (NP) type tests with a Kalman filter (KF). This approach ignores all residuals greater than a designer‐specified threshold. When measurements with outliers are used (ie, missed detections), both the state estimate and the error covariance matrix become corrupted. This corrupted state and covariance estimate are then the basis for all subsequent outlier decisions. When valid measurements are rejected (ie, false alarms), potentially using the corrupted state estimate and error covariance, measurement information is lost. Either using invalid information or discarding too much valid information can result in divergence of the KF. An alternative approach is moving‐horizon (MH) state estimation, which maintains all recent measurement data within a moving window with a time horizon of length L. In MH approaches, the number of measurements available for state estimation is affected by both the number of measurements per time step and the number of time steps L over which measurements are retained. Risk‐averse performance‐specified (RAPS) state estimation works within an optimization setting to choose a set of measurements that achieves a performance specification with minimum risk of outlier inclusion. This paper derives and formulates the MH‐RAPS solution for outlier accommodation. The paper also presents implementation results. The MH‐RAPS application uses Global Navigation Satellite Systems measurements to estimate the state of a moving platform using a position, velocity, and acceleration model. In this application, MH‐RAPS performance is compared with MH‐NP state estimation.

This article explores the estimation of parameters and states for linear stochastic systems with deterministic control inputs. It introduces a novel Kalman filtering approach called Kalman Filtering with Correlated Noises Recursive Generalized Extended Least Squares (KF-CN-RGELS) algorithm, which leverages the cross-correlation between process noise and measurement noise in Kalman filtering cycles to jointly estimate both parameters and system states. The study also investigates the theoretical implications of the correlation coefficient on estimation accuracy through performance analysis involving various correlation coefficients between process and measurement noises. The research establishes a clear relationship: the accuracy of identified parameters and states is directly proportional to positive correlation coefficients. To validate the efficacy of this algorithm, a comprehensive comparison is conducted among different algorithms, including the standard Kalman filter algorithm and the augmented-state Kalman filter with correlated noises algorithm. Theoretical findings are not only presented but also exemplified through a numerical case study to provide valuable insights into practical implications. This work contributes to enhancing estimation accuracy in linear stochastic systems with deterministic control inputs, offering valuable insights for control system design and state-space modeling.

Traffic state estimation problems must deal with imperfect information. Imperfect information may occur as a result of misalignments between reality and the assumptions or simplifications made when developing the models as well as incomplete or corrupted data. One of the well-known methods of handling imperfect information is the Kalman filter algorithm and its variations, such as the extended Kalman filter and the unscented Kalman filter. While the standard Kalman filter and the extended Kalman filter have been widely applied to the state estimation of linear systems, the unscented Kalman filter has been reported the better choice in the multiclass traffic state estimation. In many applications of Kalman filters to traffic estimation problems, the model and measurement noise covariance matrices are normally estimated. When there is a mismatch between the true and the assumed noise distribution, however, the filter often suffers from performance degradation and even divergence in certain situations. To this end, this paper presents a more efficient and accurate algorithm embedded in the unscented Kalman filter to simultaneously estimate the traffic state and the model noise distribution statistics. The proposed method is facilitated through a simultaneous update of the model noise covariance matrix in the predicted covariance equations of the unscented Kalman filter algorithm. It is found through simulation that the proposed algorithm may improve the model performance over the standard algorithm.

The paper deals with application of Kalman filter in induction motor drive using pulse-width modulation direct torque control (PWM-DTC). In the first part, the conventional PWM-DTC drive is described and Kalman filter is utilized to filter components of stator current vector those are assumed to be disturbed by white noise. The second part contains simulation results that are obtained in different cases of load torque, process and measurement noise covariances. The integral time absolute error (ITAE) performance index, undershoot, ripple of important quantities are used to compare the conventional drive structure and proposed drive structure with Kalman filter. The simulation results confirm the expected dynamic response of the proposed structure.

Kalman filter has been widely used in statistical signal processing for parameter estimation. Although a Kalman filter approach has been recently developed for spectral unmixing, referred to as Kalman filter-based linear unmixing (KFLU), its applicability to spectral characterization within a single pixel vector has not been explored. This paper presents a new application of Kalman filtering in spectral estimation and quantification. It develops a Kalman filter-based spectral signature esimator (KFSSE) which is different from the KFLU in the sense that the former performs a Kalman filter wavelength by wavelength across a spectral signature as opposed to the latter which implements a Kalman filter pixel vector by pixel vector in an image cube. The idea of the KFSSE is to implement the state equation to characterize the true spectral signature, while the measurement equation is being used to describe the spectral signature to be processed. Additionally, since a Kalman filter can accurately estimate spectral abundance fraction of a signature, our proposed KFSSE can further used for spectral quantification for subpixel targets and mixed pixel vectors, called Kalman filter-based spectral quantifier (KFSQ). Such spectral quantification is particularly important for chemical/biological defense which requires quantification of detected agents for damage control assessment. Several different types of hyperspectral data are used for experiments to demonstrate the ability of the KFSSE in estimation of spectral signature and the utility of the KFSQ in spectral quantification.

A fuzzy logic adaptive Kalman filtering methodology was developed for the automatic control of an irrigation canal system under unknown disturbances (water withdrawals) acting in the canal. Using a linearized finite difference model of open channel flow, the canal operation problem was formulated as an optimal control problem and an algorithm for gate opening in the presence of arbitrary external disturbances (changes in flow rates) was derived. Based on the linear optimal control theory, the linear quadratic regulator (LQR), assuming all the state variables (flow depths and flow rates) were available, was designed to generate control input (optimal gate opening). As it was expensive to measure all the state variables (flow rates and flow depths) in a canal system, a fuzzy logic adaptive Kalman filter and traditional Kalman filter were designed to estimate the values for the state variables that were not measured but were needed in the feedback loop. The performances of the state estimators designed using the fuzzy logic adaptive Kalman filter methodology and the traditional Kalman filtering technique were compared with the results obtained using the LQR (target loop function). The results of the present study indicated that the performance of the fuzzy logic adaptive Kalman filter was far superior to the performance of the observer design based upon the traditional Kalman filter approach. The obvious advantages of the fuzzy logic adaptive Kalman filter were the prevention of filter divergence and ease of implementation. As the fuzzy logic adaptive Kalman filter requires smaller number of state variables for the acceptable accuracy therefore, it would need less computational effort in the control of irrigation canals. Copyright © 2009 John Wiley & Sons, Ltd.

An idea and method about improving Kalman filter is proposed to solve the difficulties of data fuse and filtration for tracking objects. The model of tracking objects comprises the models of linear dynamic system, detecting, Kalman filter and equations about measurement conversion. The improved algorithm initializes value based on ascertaining the area of turning. The performance evaluation of this algorithm is presented based on the algorithm example. The experiment results show that the improved algorithm is accurate and effective.

Optimal minimal-order observers for discrete-time systems—A unified theory

In this paper, we demonstrate the advantage of applying a Kalman filter for the parameter estimation in very-long-baseline interferometry (VLBI) data analysis. We present the implementation of a Kalman filter in the VLBI software VieVS@GFZ. The performance is then investigated by looking at the accuracy obtained for various parameters, like baseline lengths, Earth Orientation Parameters, radio source coordinates, and tropospheric delays. The results are compared to those obtained when the classical least squares method (LSM) is applied for the parameter estimation, where clocks and zenith wet delays are estimated with 30-min intervals and gradients with 120-min intervals. We show that the accuracy generally is better for the Kalman filter solution, for example, the baseline length repeatabilities are on average about 10 % better compared to the LSM solution. We also discuss the possibilities to use the Kalman filter to estimate sub-diurnal station position variations and show that the variations caused by solid Earth tides can be retrieved with an accuracy of about 2 cm.

This paper presents fractional-order Kalman filters using the fractional-order average derivative method for linear fractional-order systems involving process and measurement noises. By using the fractional-order average derivative method, a difference equation model is obtained by discretizing the investigated continuous-time fractional-order system, and the accuracy of state estimation is improved. Meanwhile, compared with the Tustin generating function, the fractional-order average derivative method proposed in this paper can reduce computation load and save calculation time. Two kinds of fractional-order Kalman filters are given, for the correlated and uncorrelated cases, in terms of the process and measurement noises for linear fractional-order systems, respectively. Finally, simulation results are illustrated to verify the effectiveness of the proposed Kalman filters using the fractional-order average derivative method.

Simultaneous state and parameter estimation is essential for control system design and dynamic modeling of physical systems. This capability provides critical real-time insight into system behavior, supports the discovery of underlying mechanisms, and facilitates adaptive control strategies. Surveyed in this review paper are two classes of state and parameter estimation methods: Kalman Filters and Luenberger Observers. The Kalman Filter framework, including its major variants such as the Extended Kalman Filter (EKF), Unscented Kalman Filter (UKF), Cubature Kalman Filter (CKF), and Ensemble Kalman Filter (EnKF), has been widely applied for joint and dual estimation in linear and nonlinear systems under uncertainty. In parallel, Luenberger observers, typically used in deterministic settings, offer alternative approaches through high-gain, sliding mode, and adaptive observer structures. This review focuses on the theoretical foundations, algorithmic developments, and application domains of these methods and provides a comparative analysis of their advantages, limitations, and practical relevance across diverse engineering scenarios.

An expanded form of the third-order Markov undulation model is developed which includes undulation of the geoid, vertical deflections, gravity anomaly, and the anomalous gravity gradients. First, the complete set of autocorrelation and cross-correlation functions, as specified by the autocorrelation of undulation, is obtained. Then, a time-domain approach is used to synthesize the corresponding linear system driven by white noise that represents the anomalous gravity field behavior along a straight horizontal track. The resulting nine-state Markov model provides a shaping filter for applying covariance analysis and optimal estimation techniques to inertial navigation and gravity gradiometry systems analysis. ONTINUED mechanical refinement has brought inertial navigation technology to the stage where unmodeled variations in the Earth's gravity field have become significant and sometimes dominant error sources.1 At the same time, inertial navigation system analysts have been facing the task of developing error models to evaluate the impact of gravity uncertainties on navigation system performance. Ad- ditionally, the development of gravity gradiometers has made it necessary to model gravity-gradient signals to specify sensor requirements and analyze gradiometer-aided inertial navigation or gradiometry survey performance. To apply the powerful tools of linear system theory and Kalman filtering, it has become common to consider gravity uncertainties random variables, and to model them as Markov processes. Following the first treatment of vertical deflections as a first-order Markov process,2 a succession of higher order Markov models was proposed culminating with the third- order Markov undulation model3'4 which is fully self- consistent; that is, the auto- and cross-correlation functions of undulation, vertical deflections, and gravity anomaly obey and are derived according to the mathematical relationships of physical geodesy. The motivation for using Markov models for gravity un- certainties is that they can be cast in the form of linear dif- ferential equations driven by white noise. This allows use of the model as a shaping filter in covariance analysis of linear dynamic systems, Kalman filters, and optimal smoothing algorithms. The expanded third-order Markov undulation model described in this paper is derived from the original version, but it has three differences. First, it was found that the original model could easily be extended to include all the anomalous gravity gradients by continued differentiation of auto- and cross-correlation functions. Second, the exact cross-correlation function between undulation and gravity anomaly contains modified Bessel functions.4 Modified Bessel functions are solutions to a class of differential equations whose coefficients are functions of the independent variable. To obtain a Markov shaping filter, it is necessary to substitute an approximate function which is the solution to a linear differential equation with constant coefficients. While the chosen exponential form did not approximate the exact Bessel function as well as at first hoped possible, it provides a suitable representation of the un- dulation-gravity anomaly cross-correlation.