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

On Minimum-time Paths of Bounded Curvature with Position-dependent Constraints

We consider the problem of a particle traveling from an initial configuration to a final configuration (given by a point in the plane along with a prescribed velocity vector) in minimum time with non-homogeneous velocity and with constraints on the minimum turning radius of the particle over multiple regions of the state space. Necessary conditions for optimality of these paths are derived to characterize the nature of optimal paths, both when the particle is inside a region and when it crosses boundaries between neighboring regions. These conditions are used to characterize families of optimal and nonoptimal paths. Among the optimality conditions, we derive a "refraction" law at the boundary of the regions that generalizes the so-called Snell's law of refraction in optics to the case of paths with bounded curvature. Tools employed to deduce our results include recent principles of optimality for hybrid systems. The results are validated numerically.Comment: Expanded version of paper in Automatic

Simultaneous State and Unknown Input Set-Valued Observers for Some Classes of Nonlinear Dynamical Systems

In this paper, we propose fixed-order set-valued (in the form of l2-norm hyperballs) observers for some classes of nonlinear bounded-error dynamical systems with unknown input signals that simultaneously find bounded hyperballs of states and unknown inputs that include the true states and inputs. Necessary and sufficient conditions in the form of Linear Matrix Inequalities (LMIs) for the stability (in the sense of quadratic stability) of the proposed observers are derived for ($\mathcal{M},\gamma$)- Quadratically Constrained (($\mathcal{M},\gamma$)-QC) systems, which includes several classes of nonlinear systems: (I) Lipschitz continuous, (II) ($\mathcal{A},\gamma$)-QC* and (III) Linear Parameter-Varying (LPV) systems. This new quadratic constraint property is at least as general as the incremental quadratic constraint property for nonlinear systems and is proven in the paper to embody a broad range of nonlinearities. In addition, we design the optimal $\mathcal{H}_{\infty}$ observer among those that satisfy the quadratic stability conditions and show that the design results in Uniformly Bounded-Input Bounded-State (UBIBS) estimate radii/error dynamics and uniformly bounded sequences of the estimate radii. Furthermore, we provide closed-form upper bound sequences for the estimate radii and sufficient condition for their convergence to steady state. Finally, the effectiveness of the proposed set-valued observers is demonstrated through illustrative examples, where we compare the performance of our observers with some existing observers.Comment: Under review in Automatic