Development of robust extended Kalman filter and moving window estimator for simultaneous state and parameter/disturbance estimation

摘要

Simultaneous occurrence of gross errors (outliers/biases/drifts) in the measured signals, and drifting disturbances/parameter variations affecting the system dynamics can lead to biased state estimates, and, in turn, can lead to deterioration in the performance of model-based monitoring and control schemes. In this work, robust recursive and moving window based Bayesian state and parameter estimators are developed that are robust w.r.t. gross errors in the measurements and can simultaneously estimate non-additive unmeasured disturbance/parameter variations. Using Bayes' rule, the update step of Kalman filter (KF) is recast as an optimization problem. The optimization is then modified by replacing the likelihood term in the objective function with cost function defined by an M-estimator. The M-estimators considered in this work are Huber's Fair function and Hampel's redescending estimator. The reformulated KF is then used as a basis for reformulating extended Kalman filter (EKF). This re-formulated EKF is then used for developing robust simultaneous state and parameter estimation schemes. In particular, a robust version of recently proposed moving window based state and parameter estimator [1] has been developed. The resulting formulation can be viewed as a hybrid approach, in which the gross errors in the measurements are dealt with in a passive manner, with an active elimination of model plant mismatch by estimating unmeasured disturbance/parameter variations simultaneously. The efficacy of the proposed robust state and parameter estimators is demonstrated by conducting simulation studies and experimental studies. Analysis of the simulation and experimental results reveal that the proposed robust recursive and moving window based state and parameter estimators significantly reduce or completely nullify the effect of gross errors on the state estimates while simultaneously estimating drifting unmeasured disturbances/parameters. The simulation study also underscores