Linear dynamic filtering with noisy input and output

Estimation problems for linear time-invariant systems with noisy input and output are considered. The smoothing problem is a least norm problem. An efficient algorithm using a Riccati-type recursion is derived. The equivalence between the optimal filter and an appropriately modified Kalman filter is established. The optimal estimate of the input signal is derived from the optimal state estimate. The result shows that the noisy input/output filtering problem is not fundamentally different from the classical Kalman filtering problem

Square Root Cubature Kalman Filter-Kalman Filter Algorithm for Intelligent Vehicle Position Estimate

AbstractA new filtering algorithm, adaptive square root cubature Kalman filter-Kalman filter (SRCKF-KF) is proposed to reduce the problems of amount of calculation, complex formula-transform, low accuracy, poor convergence or even divergence. The method uses cubature Kalman filter (CKF) to estimate the nonlinear states of model while its linear states are estimated by the Kalman filter (KF). The simulation and practical experiment results show that, compared to the extended Kalman filter (EKF) and unscented Kalman filter (UKF). The modified filter not only enhances the numerical stability, guarantees positive definiteness of the state covariance, but also increases accuracy, which has high practicability

Standard Quantum Limits for broadband position measurement

I utilize the Caves-Milburn model for continuous position measurements to formulate a broadband version of the Standard Quantum Limit (SQL) for monitoring the position of a free mass, and illustrate the use of Kalman filtering to recover the SQL for estimating a weak classical force that acts on a quantum-mechanical test particle under continuous observation. These derivations are intended to clarify the interpretation of SQL's in the context of continuous quantum measurement.Comment: Replaced version: changed title, fixed algebra error at the very end, conclusions modified accordingly. Four pages, one eps figur

State estimation of a solar direct steam generation mono-tube cavity receiver using a modified Extended Kalman Filtering scheme

State estimation plays a key role in the development of advanced control strategies for Concentrating Solar Thermal Power (CSP) systems, by providing an estimate of process variables that are otherwise infeasible to measure. The present study proposes a state estimation scheme for a once-through direct steam generation plant, the SG4 steam generation system at the Australian National University. The state estimation scheme is a modified Extended Kalman Filter that computes an estimate of the internal variables of the mono-tube cavity receiver in the SG4 system, from a dynamic non-linear model of the receiver. The proposed scheme augments the capabilities of a Continuous-Direct Extended Kalman Filter to deal with the switched nature of the receiver, in order to produce estimates during system start-up, cloud transients and operation of the plant. The estimation process runs at regular sample intervals and happens in two stages, a prediction and a correction stage. The prediction stage uses the receiver model to calculate the evolution of the system and the correction stage modifies the predicted estimate from measurements of the SG4 system. The resulting estimate is a set of internal variables describing the current state of the receiver, termed the state vector. This paper presents a description of the modified Extended Kalman Filter and an evaluation of the scheme using computer simulations and experimental runs in the SG4 system. Simulations and experimental results in this paper show that the filtering scheme improves a receiver state vector estimation purely based on the receiver model and provides estimates of a quality sufficient for closed loop control.This work has been supported by the Australian Renewable Energy Agency (ARENA)

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

Diffusion Maps Kalman Filter for a Class of Systems with Gradient Flows

In this paper, we propose a non-parametric method for state estimation of high-dimensional nonlinear stochastic dynamical systems, which evolve according to gradient flows with isotropic diffusion. We combine diffusion maps, a manifold learning technique, with a linear Kalman filter and with concepts from Koopman operator theory. More concretely, using diffusion maps, we construct data-driven virtual state coordinates, which linearize the system model. Based on these coordinates, we devise a data-driven framework for state estimation using the Kalman filter. We demonstrate the strengths of our method with respect to both parametric and non-parametric algorithms in three tracking problems. In particular, applying the approach to actual recordings of hippocampal neural activity in rodents directly yields a representation of the position of the animals. We show that the proposed method outperforms competing non-parametric algorithms in the examined stochastic problem formulations. Additionally, we obtain results comparable to classical parametric algorithms, which, in contrast to our method, are equipped with model knowledge.Comment: 15 pages, 12 figures, submitted to IEEE TS