A Unified Filter for Simultaneous Input and State Estimation of Linear Discrete-time Stochastic Systems

In this paper, we present a unified optimal and exponentially stable filter for linear discrete-time stochastic systems that simultaneously estimates the states and unknown inputs in an unbiased minimum-variance sense, without making any assumptions on the direct feedthrough matrix. We also derive input and state observability/detectability conditions, and analyze their connection to the convergence and stability of the estimator. We discuss two variations of the filter and their optimality and stability properties, and show that filters in the literature, including the Kalman filter, are special cases of the filter derived in this paper. Finally, illustrative examples are given to demonstrate the performance of the unified unbiased minimum-variance filter.Comment: Preprint for Automatic

Convex inner approximations of nonconvex semialgebraic sets applied to fixed-order controller design

We describe an elementary algorithm to build convex inner approximations of nonconvex sets. Both input and output sets are basic semialgebraic sets given as lists of defining multivariate polynomials. Even though no optimality guarantees can be given (e.g. in terms of volume maximization for bounded sets), the algorithm is designed to preserve convex boundaries as much as possible, while removing regions with concave boundaries. In particular, the algorithm leaves invariant a given convex set. The algorithm is based on Gloptipoly 3, a public-domain Matlab package solving nonconvex polynomial optimization problems with the help of convex semidefinite programming (optimization over linear matrix inequalities, or LMIs). We illustrate how the algorithm can be used to design fixed-order controllers for linear systems, following a polynomial approach

Strong Stationarity Conditions for Optimal Control of Hybrid Systems

We present necessary and sufficient optimality conditions for finite time optimal control problems for a class of hybrid systems described by linear complementarity models. Although these optimal control problems are difficult in general due to the presence of complementarity constraints, we provide a set of structural assumptions ensuring that the tangent cone of the constraints possesses geometric regularity properties. These imply that the classical Karush-Kuhn-Tucker conditions of nonlinear programming theory are both necessary and sufficient for local optimality, which is not the case for general mathematical programs with complementarity constraints. We also present sufficient conditions for global optimality. We proceed to show that the dynamics of every continuous piecewise affine system can be written as the optimizer of a mathematical program which results in a linear complementarity model satisfying our structural assumptions. Hence, our stationarity results apply to a large class of hybrid systems with piecewise affine dynamics. We present simulation results showing the substantial benefits possible from using a nonlinear programming approach to the optimal control problem with complementarity constraints instead of a more traditional mixed-integer formulation.Comment: 30 pages, 4 figure

Selection theorem for systems with inheritance

The problem of finite-dimensional asymptotics of infinite-dimensional dynamic systems is studied. A non-linear kinetic system with conservation of supports for distributions has generically finite-dimensional asymptotics. Such systems are apparent in many areas of biology, physics (the theory of parametric wave interaction), chemistry and economics. This conservation of support has a biological interpretation: inheritance. The finite-dimensional asymptotics demonstrates effects of "natural" selection. Estimations of the asymptotic dimension are presented. After some initial time, solution of a kinetic equation with conservation of support becomes a finite set of narrow peaks that become increasingly narrow over time and move increasingly slowly. It is possible that these peaks do not tend to fixed positions, and the path covered tends to infinity as t goes to infinity. The drift equations for peak motion are obtained. Various types of distribution stability are studied: internal stability (stability with respect to perturbations that do not extend the support), external stability or uninvadability (stability with respect to strongly small perturbations that extend the support), and stable realizability (stability with respect to small shifts and extensions of the density peaks). Models of self-synchronization of cell division are studied, as an example of selection in systems with additional symmetry. Appropriate construction of the notion of typicalness in infinite-dimensional space is discussed, and the notion of "completely thin" sets is introduced. Key words: Dynamics; Attractor; Evolution; Entropy; Natural selectionComment: 46 pages, the final journal versio

On the Minimization of Convex Functionals of Probability Distributions Under Band Constraints

The problem of minimizing convex functionals of probability distributions is solved under the assumption that the density of every distribution is bounded from above and below. A system of sufficient and necessary first-order optimality conditions as well as a bound on the optimality gap of feasible candidate solutions are derived. Based on these results, two numerical algorithms are proposed that iteratively solve the system of optimality conditions on a grid of discrete points. Both algorithms use a block coordinate descent strategy and terminate once the optimality gap falls below the desired tolerance. While the first algorithm is conceptually simpler and more efficient, it is not guaranteed to converge for objective functions that are not strictly convex. This shortcoming is overcome in the second algorithm, which uses an additional outer proximal iteration, and, which is proven to converge under mild assumptions. Two examples are given to demonstrate the theoretical usefulness of the optimality conditions as well as the high efficiency and accuracy of the proposed numerical algorithms.Comment: 13 pages, 5 figures, 2 tables, published in the IEEE Transactions on Signal Processing. In previous versions, the example in Section VI.B contained some mistakes and inaccuracies, which have been fixed in this versio

Systems with inheritance: dynamics of distributions with conservation of support, natural selection and finite-dimensional asymptotics

If we find a representation of an infinite-dimensional dynamical system as a nonlinear kinetic system with {\it conservation of supports} of distributions, then (after some additional technical steps) we can state that the asymptotics is finite-dimensional. This conservation of support has a {\it quasi-biological interpretation, inheritance} (if a gene was not presented initially in a isolated population without mutations, then it cannot appear at later time). These quasi-biological models can describe various physical, chemical, and, of course, biological systems. The finite-dimensional asymptotic demonstrates effects of {\it ``natural" selection}. The estimations of asymptotic dimension are presented. The support of an individual limit distribution is almost always small. But the union of such supports can be the whole space even for one solution. Possible are such situations: a solution is a finite set of narrow peaks getting in time more and more narrow, moving slower and slower. It is possible that these peaks do not tend to fixed positions, rather they continue moving, and the path covered tends to infinity at $t \rightarrow \infty$. The {\it drift equations} for peaks motion are obtained. Various types of stability are studied. In example, models of cell division self-synchronization are studied. The appropriate construction of notion of typicalness in infinite-dimensional spaces is discussed, and the ``completely thin" sets are introduced