Design of discrete time controllers and estimators.

This thesis considers optimal linear least-squares filtering smoothing prediction and regulation for discrete-time processes. A finite interval smoothing filter is derived in the z domain giving a transfer function solution. The resulting time-invariant smoother can be applied to problems where, a time varying solution using matrix Riccati equations would diverge if the process is modelled inaccurately. A self-tuning algorithm is given for the filtering and fixed lag smoothing problems as applied to square multi-variable ARMA processes when only the order of the process is assumed known. The dynamics of the process can also be slowly time varying. If the dynamics remain constant and unknown, it is shown how the self-tuning filter or smoother algorithm converges asymptotically to the optimal Wiener solutions. LQG self-tuning regulation is considered. The LQG algorithms rely on input-output data rather than from the conventional state-space approach employing the Kalman filter. An explicit algorithm is given which is similar to certain pole placement self-tuning regulators, requiring the solution of a diophantine equation. Following this, an implicit algorithm is shown to overcome the problem of solving a diophantine equation by estimating the regulator parameters directly using recursive least squares. The LQG algorithms are shown to be able to cope with processes which are non-minimum phase, open loop unstable and with an unknown time delay

Bibliographic Review on Distributed Kalman Filtering

In recent years, a compelling need has arisen to understand the effects of distributed information structures on estimation and filtering. In this paper, a bibliographical review on distributed Kalman filtering (DKF) is provided.\ud The paper contains a classification of different approaches and methods involved to DKF. The applications of DKF are also discussed and explained separately. A comparison of different approaches is briefly carried out. Focuses on the contemporary research are also addressed with emphasis on the practical applications of the techniques. An exhaustive list of publications, linked directly or indirectly to DKF in the open literature, is compiled to provide an overall picture of different developing aspects of this area

A kepstrum approach to filtering, smoothing and prediction

The kepstrum (or complex cepstrum) method is revisited and applied to the problem of spectral factorization where the spectrum is directly estimated from observations. The solution to this problem in turn leads to a new approach to optimal filtering, smoothing and prediction using the Wiener theory. Unlike previous approaches to adaptive and self-tuning filtering, the technique, when implemented, does not require a priori information on the type or order of the signal generating model. And unlike other approaches - with the exception of spectral subtraction - no state-space or polynomial model is necessary. In this first paper results are restricted to stationary signal and additive white noise

Particle Metropolis-Hastings using gradient and Hessian information

Particle Metropolis-Hastings (PMH) allows for Bayesian parameter inference in nonlinear state space models by combining Markov chain Monte Carlo (MCMC) and particle filtering. The latter is used to estimate the intractable likelihood. In its original formulation, PMH makes use of a marginal MCMC proposal for the parameters, typically a Gaussian random walk. However, this can lead to a poor exploration of the parameter space and an inefficient use of the generated particles. We propose a number of alternative versions of PMH that incorporate gradient and Hessian information about the posterior into the proposal. This information is more or less obtained as a byproduct of the likelihood estimation. Indeed, we show how to estimate the required information using a fixed-lag particle smoother, with a computational cost growing linearly in the number of particles. We conclude that the proposed methods can: (i) decrease the length of the burn-in phase, (ii) increase the mixing of the Markov chain at the stationary phase, and (iii) make the proposal distribution scale invariant which simplifies tuning.Comment: 27 pages, 5 figures, 2 tables. The final publication is available at Springer via: http://dx.doi.org/10.1007/s11222-014-9510-