Framework for state and unknown input estimation of linear time-varying systems

The design of unknown-input decoupled observers and filters requires the assumption of an existence condition in the literature. This paper addresses an unknown input filtering problem where the existence condition is not satisfied. Instead of designing a traditional unknown input decoupled filter, a Double-Model Adaptive Estimation approach is extended to solve the unknown input filtering problem. It is proved that the state and the unknown inputs can be estimated and decoupled using the extended Double-Model Adaptive Estimation approach without satisfying the existence condition. Numerical examples are presented in which the performance of the proposed approach is compared to methods from literature.Comment: This paper has been accepted by Automatica. It considers unknown input estimation or fault and disturbances estimation. Existing approaches considers the case where the effects of fault and disturbance can be decoupled. In our paper, we consider the case where the effects of fault and disturbance are coupled. This approach can be easily extended to nonlinear system

Simultaneous state and input estimation with partial information on the inputs

This paper investigates the problem of simultaneous state and input estimation for discrete-time linear stochastic systems when the information on the inputs is partially available. To incorporate the partial information on the inputs, matrix manipulation is used to obtain an equivalent system with reduced-order in puts. Then Bayesian inference is drawn to obtain a recursive filter for both state and input variables. The proposed filter is an extension of the recently developed state filter with partially observed inputs to the case where the input filter is also of in terest, and an extension of the Simultaneous State and Input Estimation (SSIE) to the case where the information on the inputs is partially available. A numerical example is given to illustrate the proposed method. It is shown that, due to the additional information on the inputs being incorporated in the filter design, the performances of both state and input estimation are substantially improved in comparison with the conventional SSIE without partial input information

Approximate Gaussian conjugacy: parametric recursive filtering under nonlinearity, multimodality, uncertainty, and constraint, and beyond

Since the landmark work of R. E. Kalman in the 1960s, considerable efforts have been devoted to time series state space models for a large variety of dynamic estimation problems. In particular, parametric filters that seek analytical estimates based on a closed-form Markov–Bayes recursion, e.g., recursion from a Gaussian or Gaussian mixture (GM) prior to a Gaussian/GM posterior (termed ‘Gaussian conjugacy’ in this paper), form the backbone for a general time series filter design. Due to challenges arising from nonlinearity, multimodality (including target maneuver), intractable uncertainties (such as unknown inputs and/or non-Gaussian noises) and constraints (including circular quantities), etc., new theories, algorithms, and technologies have been developed continuously to maintain such a conjugacy, or to approximate it as close as possible. They had contributed in large part to the prospective developments of time series parametric filters in the last six decades. In this paper, we review the state of the art in distinctive categories and highlight some insights that may otherwise be easily overlooked. In particular, specific attention is paid to nonlinear systems with an informative observation, multimodal systems including Gaussian mixture posterior and maneuvers, and intractable unknown inputs and constraints, to fill some gaps in existing reviews and surveys. In addition, we provide some new thoughts on alternatives to the first-order Markov transition model and on filter evaluation with regard to computing complexity

Fault estimation algorithms: design and verification

The research in this thesis is undertaken by observing that modern systems are becoming more and more complex and safety-critical due to the increasing requirements on system smartness and autonomy, and as a result health monitoring system needs to be developed to meet the requirements on system safety and reliability. The state-of-the-art approaches to monitoring system status are model based Fault Diagnosis (FD) systems, which can fuse the advantages of system physical modelling and sensors' characteristics. A number of model based FD approaches have been proposed. The conventional residual based approaches by monitoring system output estimation errors, however, may have certain limitations such as complex diagnosis logic for fault isolation, less sensitiveness to system faults and high computation load. More importantly, little attention has been paid to the problem of fault diagnosis system verification which answers the question that under what condition (i.e., level of uncertainties) a fault diagnosis system is valid. To this end, this thesis investigates the design and verification of fault diagnosis algorithms. It first highlights the differences between two popular FD approaches (i.e., residual based and fault estimation based) through a case study. On this basis, a set of uncertainty estimation algorithms are proposed to generate fault estimates according to different specifications after interpreting the FD problem as an uncertainty estimation problem. Then FD algorithm verification and threshold selection are investigated considering that there are always some mismatches between the real plant and the mathematical model used for FD observer design. Reachability analysis is drawn to evaluate the effect of uncertainties and faults such that it can be quantitatively verified under what condition a FD algorithm is valid. First the proposed fault estimation algorithms in this thesis, on the one hand, extend the existing approaches by pooling the available prior information such that performance can be enhanced, and on the other hand relax the existence condition and reduce the computation load by exploiting the reduced order observer structure. Second, the proposed framework for fault diagnosis system verification bridges the gap between academia and industry since on the one hand a given FD algorithm can be verified under what condition it is effective, and on the other hand different FD algorithms can be compared and selected for different application scenarios. It should be highlighted that although the algorithm design and verification are for fault diagnosis systems, they can also be applied for other systems such as disturbance rejection control system among many others