Robust filtering for a class of stochastic uncertain nonlinear time-delay systems via exponential state estimation

Copyright [2001] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to [email protected]. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.We investigate the robust filter design problem for a class of nonlinear time-delay stochastic systems. The system under study involves stochastics, unknown state time-delay, parameter uncertainties, and unknown nonlinear disturbances, which are all often encountered in practice and the sources of instability. The aim of this problem is to design a linear, delayless, uncertainty-independent state estimator such that for all admissible uncertainties as well as nonlinear disturbances, the dynamics of the estimation error is stochastically exponentially stable in the mean square, independent of the time delay. Sufficient conditions are proposed to guarantee the existence of desired robust exponential filters, which are derived in terms of the solutions to algebraic Riccati inequalities. The developed theory is illustrated by numerical simulatio

An exact minimum variance filter for a class of discrete time systems with random parameter perturbations

An exact, closed-form minimum variance filter is designed for a class of discrete time uncertain systems which allows for both multiplicative and additive noise sources. The multiplicative noise model includes a popular class of models (Cox-Ingersoll-Ross type models) in econometrics. The parameters of the system under consideration which describe the state transition are assumed to be subject to stochastic uncertainties. The problem addressed is the design of a filter that minimizes the trace of the estimation error variance. Sensitivity of the new filter to the size of parameter uncertainty, in terms of the variance of parameter perturbations, is also considered. We refer to the new filter as the 'perturbed Kalman filter' (PKF) since it reduces to the traditional (or unperturbed) Kalman filter as the size of stochastic perturbation approaches zero. We also consider a related approximate filtering heuristic for univariate time series and we refer to filter based on this heuristic as approximate perturbed Kalman filter (APKF). We test the performance of our new filters on three simulated numerical examples and compare the results with unperturbed Kalman filter that ignores the uncertainty in the transition equation. Through numerical examples, PKF and APKF are shown to outperform the traditional (or unperturbed) Kalman filter in terms of the size of the estimation error when stochastic uncertainties are present, even when the size of stochastic uncertainty is inaccurately identified

Identification from Flight Data of the Aerodynamics of an Experimental Re-Entry Vehicle

Post flight data analyses are essential activities in aerospace projects. In particular, there is a specific interest in obtaining vehicle aerodynamic characteristics from flight data, especially for re-entry vehicle, in order to better understand theoretical predictions, to validate wind- tunnel test results and to get more accurate and reliable mathematical models for the purpose of simulation, stability analysis, and control system design and evaluation. Indeed, due to atmospheric re-entry specificity in terms of environment and phenomena, ground based experiments are not fully exhaustive and in-flight experimentation is mandatory. Moreover pre-flight models are usually characterised by wide uncertainty ranges, which should be reduced. These objectives can be reached by performing vehicle’s model identification from flight data

Modeling errors in Kalman filters

Suboptimal filters based on erroneous models of system dynamics and on a priori statistic

Identification of weakly coupled multiphysics problems. Application to the inverse problem of electrocardiography

This work addresses the inverse problem of electrocardiography from a new perspective, by combining electrical and mechanical measurements. Our strategy relies on the defini-tion of a model of the electromechanical contraction which is registered on ECG data but also on measured mechanical displacements of the heart tissue typically extracted from medical images. In this respect, we establish in this work the convergence of a sequential estimator which combines for such coupled problems various state of the art sequential data assimilation methods in a unified consistent and efficient framework. Indeed we ag-gregate a Luenberger observer for the mechanical state and a Reduced Order Unscented Kalman Filter applied on the parameters to be identified and a POD projection of the electrical state. Then using synthetic data we show the benefits of our approach for the estimation of the electrical state of the ventricles along the heart beat compared with more classical strategies which only consider an electrophysiological model with ECG measurements. Our numerical results actually show that the mechanical measurements improve the identifiability of the electrical problem allowing to reconstruct the electrical state of the coupled system more precisely. Therefore, this work is intended to be a first proof of concept, with theoretical justifications and numerical investigations, of the ad-vantage of using available multi-modal observations for the estimation and identification of an electromechanical model of the heart