NDLI: Itô–Volterra Optimal State Estimation With Continuous, Multirate, Randomly Sampled, and Delayed Measurements

Content Provider	IEEE Xplore Digital Library
Author	Huichai Zhang Basin, M.V. Skliar, M.
Copyright Year	1963
Abstract	The optimal filter for continuous, linear, stochastic, time-varying systems described by the Itocirc-Volterra equations with discontinuous measure is derived. With an appropriately selected measure, the result is applicable to a wide range of observation processes, including the hybrid case of observations formed by an arbitrary combination of continuous and discrete measurements, which may be sampled with a priori unknown, changing, and, possibly, random rates and delays. The simultaneous presence of continuous and sampled measurements causes impulsive discontinuity in the inputs of the optimal filter equations, which leads to a discontinuous change in state estimates every time a sampled measurement becomes available. Using the theory of vibrosolutions, the explicit and unique expressions for the jumps in state estimates and estimation error covariance are derived. Several examples illustrate the procedure of modeling hybrid measurement systems by selecting an appropriate discontinuous measure. We further show that the Itocirc-Volterra model and the main result of the paper can be specialized to several important cases, including state space systems, for which we recover several known state estimation results, and derive a novel optimal filter for continuous LTV systems with an arbitrary combination of continuous and delayed sampled measurements. This optimal filter updates the state estimates for incoming measurements as soon as they become available and does not require prior knowledge of sampling instants and delays, which makes it applicable when deterministic and random changes in sampling and delays are present. Several computational examples demonstrate the implementation of the developed filter and compare its performance to the traditional alternatives using Monte-Carlo simulations
Sponsorship	IEEE Control Systems Society
Starting Page	401
Ending Page	416
Page Count	16
File Size	1212682
File Format	PDF
ISSN	00189286
Volume Number	52
Issue Number	3
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2007-03-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	State estimation Delay estimation Equations Time measurement Sampling methods Nonlinear filters Stochastic systems Time varying systems Estimation error State-space methods optimal state estimation Continuous and sampled measurements delayed measurements Itô–Volterra systems multirate and random sampling
Content Type	Text
Resource Type	Article
Subject	Control and Systems Engineering Electrical and Electronic Engineering Computer Science Applications

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2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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