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Estimation of Nonlinear Functions of State Vector for Linear Systems with Time-Delays and Uncertainties

Author

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  • Il Young Song
  • Georgy Shevlyakov
  • Vladimir Shin

Abstract

This paper focuses on estimation of a nonlinear function of state vector (NFS) in discrete-time linear systems with time-delays and model uncertainties. The NFS represents a multivariate nonlinear function of state variables, which can indicate useful information of a target system for control. The optimal nonlinear estimator of an NFS (in mean square sense) represents a function of the receding horizon estimate and its error covariance. The proposed receding horizon filter represents the standard Kalman filter with time-delays and special initial horizon conditions described by the Lyapunov-like equations. In general case to calculate an optimal estimator of an NFS we propose using the unscented transformation. Important class of polynomial NFS is considered in detail. In the case of polynomial NFS an optimal estimator has a closed-form computational procedure. The subsequent application of the proposed receding horizon filter and nonlinear estimator to a linear stochastic system with time-delays and uncertainties demonstrates their effectiveness.

Suggested Citation

  • Il Young Song & Georgy Shevlyakov & Vladimir Shin, 2015. "Estimation of Nonlinear Functions of State Vector for Linear Systems with Time-Delays and Uncertainties," Mathematical Problems in Engineering, Hindawi, vol. 2015, pages 1-10, April.
    • Handle: RePEc:hin:jnlmpe:217253
    DOI: 10.1155/2015/217253
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